Quantitative Methods for Finance with Simulations II: Numerical Methods and Monte Carlo Integration
暫譯: 金融的量化方法與模擬 II：數值方法與蒙地卡羅積分
Choe, Geon Ho
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商品描述
This self-contained book is the second of a two-volume set providing a thorough introduction to quantitative finance, covering both theoretical and computational methods.
This volume covers numerical methods, including numerical solutions of ordinary and partial differential equations such as the Black-Scholes-Merton equation, as well as stochastic differential equations, Monte Carlo methods, estimation of implied volatility, stochastic volatility models, and Fourier transform methods for option pricing. The numerical methods are implemented in both Matlab and Python. Background in mathematics is included in the appendices and the level of familiarity with computer programming is kept to a minimum.商品描述(中文翻譯)
這本獨立的書籍是兩卷本系列的第二卷，提供了對量化金融的全面介紹，涵蓋了理論和計算方法。本卷涵蓋數值方法，包括常微分方程和偏微分方程的數值解法，例如 Black-Scholes-Merton 方程，以及隨機微分方程、蒙地卡羅方法、隱含波動率的估算、隨機波動率模型和選擇權定價的傅立葉變換方法。數值方法在 Matlab 和 Python 中實現。附錄中包含數學背景，對計算機程式設計的熟悉程度要求保持在最低限度。
作者簡介
Geon Ho Choe is Emeritus Professor at Korea Advanced Institute of Science and Technology (KAIST). He obtained his PhD in Mathematics at the University of California, Berkeley, in 1987. In a career spanning several decades, he supervised 21 PhD students. He is the author of the books Computational Ergodic Theory (Springer, 2005) and Stochastic Analysis for Finance with Simulations (Springer, 2016). He received the 2022 Korean Mathematical Society Education Award.
作者簡介(中文翻譯)
崔建浩（Geon Ho Choe）是韓國科學技術院（KAIST）的名譽教授。他於1987年在加州大學伯克利分校獲得數學博士學位。在長達數十年的職業生涯中，他指導了21位博士生。他是書籍《計算遍歷理論》（Computational Ergodic Theory，Springer，2005年）和《金融隨機分析與模擬》（Stochastic Analysis for Finance with Simulations，Springer，2016年）的作者。他獲得了2022年韓國數學會教育獎。
