A comprehensive introduction to various numerical methods used in computational finance today Quantitative skills are a prerequisite for anyone working in finance or beginning a career in the field, as well as risk managers. A thorough grounding in numerical methods is necessary, as is the...

Intro -- Contents -- Preface -- Contributors -- Introduction -- Risk Management and Portfolio Optimization -- Importance Sampling and StratiEcation for Value-at-Risk -- ConEdence Intervals and Hypothesis Testing for the -- Sharpe and Treynor Performance Measures: -- A Bootstrap Approach --...

I Pricing and ValuationStochastic Processes and Risk-Neutral Pricing Characteristic FunctionStochastic Models of Asset PricesValuing Derivatives under Various MeasuresTypes of DerivativesDerivatives Pricing via Transform TechniquesDerivatives Pricing via the Fast Fourier TransformFractional Fast...

Learn how quantitative models can help fight client problems head-on Before financial problems can be solved, they need to be fully understood. Since in-depth quantitative modeling techniques are a powerful tool to understanding the drivers associated with financial problems, one would need a...