Implementing Models in Quantitative Finance: Methods and Cases

12.12.2007

Englisch

9783540223481

Springer Berlin

Springer Finance

Nein

Gianluca Fusai, Andrea Roncoroni

607

Gebundene Ausgabe

Gianluca Fusai is Associate Professor in Financial Calculus at Università 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 Associate Professor of Finance at ESSEC Business School (Paris-Singapore), Senior Lecturer at Bocconi University (Milan), and Co-director of the Master in Energy Finance at MIP - Politecnico di Milano. He holds PhDs in Applied Mathematics and in Finance. His research interests cover Energy and Commodity Finance, Financial Modeling, Risk Management and Derivative Structuring. He consults for private companies and lectures for private and public institutions (International Energy Agency, Italian Stock Exchange, Italian Energy Authority, Italian Power Exchange, University Paris Dauphine, University of Oslo). He regularly publishes in academic journals (J.of Business, J.of Banking and Finance, Intl.J.of Business).

JEL: G11, G13, C15, C22, C63, MATLAB, Monte Carlo simulation, Numerical methods in finance, STATISTICA, Simulation, Stochastic Optimization, algorithms, copula, financial engineering, linear optimization, optimization, partial differential equation, partial differential equations, quantitative finance

KNV - Öffentlicher Dienst und öffentlicher Sektor PBW - Angewandte Mathematik K - Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management PBKS - Numerische Mathematik PBKJ - Differentialrechnung und -gleichungen

235 mm

15.5 cm