Implementing models in quantitative finance: methods and cases

zbMath1213.91008MaRDI QIDQ2473570

Andrea Roncoroni, Gianluca Fusai

Publication date: 28 February 2008

Published in: Springer Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Monte Carlo methods (65C05) Numerical optimization and variational techniques (65K10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

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Uses Software

• Matlab
• Visual Basic
• VBA

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