Implementing Models in Quantitative Finance: Methods and Cases

This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain 'crash courses' in VBA and Matlab programming languages.


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).