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Gianluca Fusai Andrea Roncoroni

Implementing Models in

Quantitative Finance:

Methods and Cases

Gianluca Fusai

Andrea Roncoroni

Dipartimento di Scienze Economiche

Finance Department

e Metodi Quantitativi

ESSEC Graduate Business School

Facoltà di Economia

Avenue Bernard Hirsch BP 50105

Università del Piemonte

Cergy Pontoise Cedex

Orientale “A. Avogadro”

France

Via Perrone, 18

E-mails: roncoroni@essec.fr

28100 Novara

roncoroni@gmail.com

Italy

E-mail: gianluca.fusai@eco.unipmn.it

Mathematics Subject Classiﬁcation (2000): 35-01, 65-01, 65C05, 65C10, 65C20,

65C30, 91B28

JEL Classiﬁcation: G11, G13, C15, C22, C63

Library of Congress Control Number: 2007931341

ISBN 978-3-540-22348-1 Springer Berlin Heidelberg New York

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