Description
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 “crash courses” in VBA and Matlab programming languages. Gianluca Fusai is Associate Professor in Financial Calculus at Universit degli Studi del Piemonte Orientale (Italy) and a Research Associate at Financial Options Research Center, Univeristy of Warwick. He holds a Ph.D in Finance from the Warwick Business School and a MS in Statistics and Operational Research from University of Essex, UK. His research interest are Financial Engineering, Numerical Methods, Portfolio Selection, and Financial Statistics. On this topics he has published in journals like Journal of Computational Finance, Risk, Annals of Applied Probability, International Journal of Theoretical and Applied Finance. He has worked as a consultant in the private sector (Mediolanum Assicurazioni, Selenia Luxco, Nike Consulting, Software Company, Equitable House). Andrea Roncoroni is Assistant Professor in Finance at ESSEC Business School (France). He holds a MS in Mathematics from the Courant Institute of Mathematical Finance at the New York University, a Ph.D. in Applied Mathematics from the University of Trieste, and a Ph.D. in Finance from the University Paris Dauphine. His research interests span Financial Modelling, Econometrics, Derivative Valuation and Risk Management in Interest-Rate and Energy Markets. He has worked as a consultant for private and public institutions (Gaz de France, Fideuram Capital Asset Manegement, Italian Stock Exchange, Italian Authority for Energy and Gas Markets).
