Implementing Models In Quantitative Finance

Puts numerical methods into action for the purpose of solving concrete problems arising in quantitative finance. This book develops a toolkit including Monte Carlo simulation, numerical schemes for partial differential equations, stochastic optimization in discrete time, copula functions, transform- [...]
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Puts numerical methods into action for the purpose of solving concrete problems arising in quantitative finance. This book develops a toolkit including Monte Carlo simulation, numerical schemes for partial differential equations, stochastic optimization in discrete time, copula functions, transform-based methods and quadrature techniques.