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This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. It fills a gap in the current published literature by delivering a case-study collection together with a self-contained course on major numerical methods developed and used by the finance industry.

Implementing Models in Quantitative Finance: Methods and Cases

Methods.- Static Monte Carlo.- Dynamic Monte Carlo.- Dynamic Programming for Stochastic Optimization.- Finite Difference Methods.- Numerical Solution of Linear Systems.- Quadrature Methods.- The Laplace Transform.- Structuring Dependence using Copula Functions.- Problems.- 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: An Asian Bet.- Lookback Options: A Discrete Problem.- Electrifying the Price of Power.- A Sparkling Option.- Swinging on a Tree.- Floating Mortgages.- Basket Default Swaps.- Scenario Simulation Using Principal Components.- Parametric Estimation of Jump-Diffusions.- Nonparametric Estimation of Jump-Diffusions.- A Smiling GARCH.