Implementing Models in Quantitative Finance: Methods and Cases

Introduction This book presents and develops major numerical methods currently used for solving problems arising in quantitative finance. Our presentation splits into two parts. Part I is methodological, and offers a comprehensive toolkit on numerical me- ods and algorithms. This includes Monte Carlo simulation, numerical schemes for partial differential equations, shastic optimization in discrete time, copula fu- tions, transform-based methods and quadrature techniques. Part II is practica...