This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain qcrash coursesq in VBA and Matlab programming languages.Key words: random walk, AR(1), GARCH, bootstrapping, technical analysis, Monte Carlo simulation Technical analysis focuses on historical information concerning price movements in order to forecast future price trends. In this manneranbsp;...
|Title||:||Implementing Models in Quantitative Finance: Methods and Cases|
|Author||:||Gianluca Fusai, Andrea Roncoroni|
|Publisher||:||Springer Science & Business Media - 2007-12-20|