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Implementing Models in Quantitative Finance: Methods and Cases

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Cover of 'Implementing Models in Quantitative Finance: Methods and Cases'

Table of Contents

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    Book Overview
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    Chapter 1 Static Monte Carlo
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    Chapter 2 Dynamic Monte Carlo
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    Chapter 3 Dynamic Programming for Stochastic Optimization
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    Chapter 4 Finite Difference Methods
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    Chapter 5 Numerical Solution of Linear Systems
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    Chapter 6 Quadrature Methods
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    Chapter 7 The Laplace Transform
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    Chapter 8 Structuring Dependence using Copula Functions
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    Chapter 9 Portfolio Selection: “Optimizing” an Error
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    Chapter 10 Alpha, Beta and Beyond
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    Chapter 11 Automatic Trading: Winning or Losing in a kBit
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    Chapter 12 Estimating the Risk-Neutral Density
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    Chapter 13 An “American” Monte Carlo
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    Chapter 14 Fixing Volatile Volatility
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    Chapter 15 An Average Problem
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    Chapter 16 Quasi-Monte Carlo: An Asian Bet
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    Chapter 17 Lookback Options: A Discrete Problem
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    Chapter 18 Electrifying the Price of Power
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    Chapter 19 A Sparkling Option
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    Chapter 20 Swinging on a Tree
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    Chapter 21 Floating Mortgages
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    Chapter 22 Basket Default Swaps
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    Chapter 23 Scenario Simulation Using Principal Components
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    Chapter 24 Parametric Estimation of Jump-Diffusions
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    Chapter 25 Nonparametric Estimation of Jump-Diffusions
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    Chapter 26 A Smiling GARCH
Attention for Chapter 26: A Smiling GARCH
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Chapter title
A Smiling GARCH
Chapter number 26
Book title
Implementing Models in Quantitative Finance: Methods and Cases
Published by
Springer, Berlin, Heidelberg, January 2008
DOI 10.1007/978-3-540-49959-6_26
Book ISBNs
978-3-54-022348-1, 978-3-54-049959-6