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Contents: Part I: Methods. Finite Difference Methods; Numerical Solution of Linear Systems; Basic Monte Carlo; Advanced Monte Carlo; Quadrature Methods; Laplace Transforms; Structuring Dependence using Copula Functions; Dynamic Programming - Part II: Cases. Portfolio Selection: "Optimizing an Error"; Alpha, Beta, and Beyond; Automatic Trading: Winning or Losing in a kBit; Estimating the Risk Neutral Density; An "American" Monte Carlo; Fixing Volatile Volatility; An Average Problem; Quasi Monte Carlo; Lookback Options: A Discrete Problem; Electrifying the Price of Power; A Sparkling Option; Swinging on a Tree; Floating-Rate Mortgages; Basket Default Swaps; Scenario Simulation using Principal Components; Parametric estimation of Jump-Diffusions; Nonparametric Estimation of Jump-Diffusions; A Smiling GARCH. Appendices. Companion CD.
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Add Implementing Models in Quantitative Finance: Methods and Cases, This book puts numerical methods into action for the purpose of solving concrete problems arising in quantitative finance. Part one develops a comprehensive toolkit including Monte Carlo simulation, numerical schemes for partial differential equations, sh, Implementing Models in Quantitative Finance: Methods and Cases to the inventory that you are selling on WonderClubX
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Add Implementing Models in Quantitative Finance: Methods and Cases, This book puts numerical methods into action for the purpose of solving concrete problems arising in quantitative finance. Part one develops a comprehensive toolkit including Monte Carlo simulation, numerical schemes for partial differential equations, sh, Implementing Models in Quantitative Finance: Methods and Cases to your collection on WonderClub |