[下载]Implementing Models in Quantitative Finance - Fusai

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Title：Implementing Models in Quantitative Finance: Methods and Cases
     Authors：Gianluca Fusai & Andrea Roncoroni
     Edition：1 edition (January 2008)
     Format：High Quality pdf Non-scanned Version
     Pages：619 pages
     Publisher：Springer
     Reference：http://www.amazon.com/exec/obidos/ASIN/3540223487/ebooksclub-20/

Table of Contents
     1  Static Monte Carlo
     2  Dynamic Monte Carlo
     3  Dynamic Programming for Stochastic Optimization
     4  Finite Difference Methods
     5  Numerical Solution of Linear Systems
     6  Quadrature Methods
     7  The Laplace Transform
     8  Structuring Dependence using Copula Functions
     9  Portfolio Selection: “Optimizing” an Error
     10 Alpha, Beta and Beyond
     11 Automatic Trading:Winning or Losing in a kBit
     12 Estimating the Risk-Neutral Density
     13 An "American" Monte Carlo
     14 Fixing Volatile Volatility
     15 An Average Problem
     16 Quasi-Monte Carlo: An Asian Bet
     17 Lookback Options: A Discrete Problem
     18 Electrifying the Price of Power
     19 A Sparkling Option
     20 Swinging on a Tree
     21 Floating Mortgages
     22 Basket Default Swaps
     23 Scenario Simulation Using Principal Components
     24 Parametric Estimation of Jump-Diffusions
     25 Nonparametric Estimation of Jump-Diffusions
     26 A Smiling GARCH
     A Appendix: Proof of the Thinning Algorithm
     B Appendix: Sample Problems for Monte Carlo
     C Appendix: The Matlab Solver
     D Appendix: Optimal Control
     D.1 Setting up the Optimal Stopping Problem
     D.2 Proof of the Bellman Principle of Optimality
     D.3 Proof of the Dynamic Programming Algorithm
     Bibliography
     Index

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2008-1-10 07:55:00 上传

[下载]Implementing Models in Quantitative Finance - Fusai
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