Numerical Methods and Optimization in Finance

Computationally-intensive tools play an increasingly important role in financial decisions. Many financial problems-ranging from asset allocation to risk management and from option pricing to model calibration-can be efficiently handled using modern computational techniques. Numerical Methods and Optimization in Finance presents such computational techniques, with an emphasis on simulation and optimization, particularly so-called heuristics. This book treats quantitative analysis as an essentially computational discipline in which applications are put into software form and tested empirically. This revised edition includes two new chapters, a self-contained tutorial on implementing and using heuristics, and an explanation of software used for testing portfolio-selection models. Postgraduate students, researchers in programs on quantitative and computational finance, and practitioners in banks and other financial companies can benefit from this second edition of Numerical Methods and Optimization in Finance. Introduces numerical methods to readers with economics backgrounds Emphasizes core simulation and optimization problems Includes MATLAB and R code for all applications, with sample code in the text and freely available for download

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  • Author : Manfred Gilli
  • Publisher : Academic Press
  • Pages : 638 pages
  • ISBN : 0128150653
  • Rating : 4/5 from 21 reviews
CLICK HERE TO GET THIS BOOKNumerical Methods and Optimization in Finance

Numerical Methods and Optimization in Finance

Numerical Methods and Optimization in Finance
  • Author : Manfred Gilli,Dietmar Maringer,Enrico Schumann
  • Publisher : Academic Press
  • Release : 30 August 2019
GET THIS BOOKNumerical Methods and Optimization in Finance

Computationally-intensive tools play an increasingly important role in financial decisions. Many financial problems-ranging from asset allocation to risk management and from option pricing to model calibration-can be efficiently handled using modern computational techniques. Numerical Methods and Optimization in Finance presents such computational techniques, with an emphasis on simulation and optimization, particularly so-called heuristics. This book treats quantitative analysis as an essentially computational discipline in which applications are put into software form and tested empirically. This revised edition includes two new

Numerical Methods and Optimization in Finance

Numerical Methods and Optimization in Finance
  • Author : Manfred Gilli,Dietmar Maringer,Enrico Schumann
  • Publisher : Academic Press
  • Release : 16 August 2019
GET THIS BOOKNumerical Methods and Optimization in Finance

Computationally-intensive tools play an increasingly important role in financial decisions. Many financial problems—ranging from asset allocation to risk management and from option pricing to model calibration—can be efficiently handled using modern computational techniques. Numerical Methods and Optimization in Finance presents such computational techniques, with an emphasis on simulation and optimization, particularly so-called heuristics. This book treats quantitative analysis as an essentially computational discipline in which applications are put into software form and tested empirically. This revised edition includes

Numerical Methods and Optimization in Finance

Numerical Methods and Optimization in Finance
  • Author : Manfred Gilli,Dietmar Maringer,Enrico Schumann
  • Publisher : Academic Press
  • Release : 30 June 2011
GET THIS BOOKNumerical Methods and Optimization in Finance

This book describes computational finance tools. It covers fundamental numerical analysis and computational techniques, such as option pricing, and gives special attention to simulation and optimization. Many chapters are organized as case studies around portfolio insurance and risk estimation problems. In particular, several chapters explain optimization heuristics and how to use them for portfolio selection and in calibration of estimation and option pricing models. Such practical examples allow readers to learn the steps for solving specific problems and apply these

Numerical Methods and Optimization in Finance

Numerical Methods and Optimization in Finance
  • Author : Manfred Gilli,Dietmar Maringer,Enrico Schumann
  • Publisher : Academic Press
  • Release : 21 June 2021
GET THIS BOOKNumerical Methods and Optimization in Finance

This book describes computational finance tools. It covers fundamental numerical analysis and computational techniques, such as option pricing, and gives special attention to simulation and optimization. Many chapters are organized as case studies around portfolio insurance and risk estimation problems. In particular, several chapters explain optimization heuristics and how to use them for portfolio selection and in calibration of estimation and option pricing models. Such practical examples allow readers to learn the steps for solving specific problems and apply these

Numerical Methods in Finance and Economics

Numerical Methods in Finance and Economics
  • Author : Paolo Brandimarte
  • Publisher : John Wiley & Sons
  • Release : 06 June 2013
GET THIS BOOKNumerical Methods in Finance and Economics

A state-of-the-art introduction to the powerful mathematical and statistical tools used in the field of finance The use of mathematical models and numerical techniques is a practice employed by a growing number of applied mathematicians working on applications in finance. Reflecting this development, Numerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition bridges the gap between financial theory and computational practice while showing readers how to utilize MATLAB?--the powerful numerical computing environment--for financial applications. The author

Optimization Methods in Finance

Optimization Methods in Finance
  • Author : Gerard Cornuejols,Reha Tütüncü
  • Publisher : Cambridge University Press
  • Release : 21 December 2006
GET THIS BOOKOptimization Methods in Finance

Optimization models play an increasingly important role in financial decisions. This is the first textbook devoted to explaining how recent advances in optimization models, methods and software can be applied to solve problems in computational finance more efficiently and accurately. Chapters discussing the theory and efficient solution methods for all major classes of optimization problems alternate with chapters illustrating their use in modeling problems of mathematical finance. The reader is guided through topics such as volatility estimation, portfolio optimization problems

Numerical Methods in Finance

Numerical Methods in Finance
  • Author : Paolo Brandimarte
  • Publisher : John Wiley & Sons
  • Release : 13 October 2003
GET THIS BOOKNumerical Methods in Finance

Balanced coverage of the methodology and theory of numericalmethods in finance Numerical Methods in Finance bridges the gap between financialtheory and computational practice while helping students andpractitioners exploit MATLAB for financial applications. Paolo Brandimarte covers the basics of finance and numericalanalysis and provides background material that suits the needs ofstudents from both financial engineering and economicsperspectives. Classical numerical analysis methods; optimization,including less familiar topics such as stochastic and integerprogramming; simulation, including low discrepancy sequences; andpartial differential equations are covered

Mathematical Modelling and Numerical Methods in Finance

Mathematical Modelling and Numerical Methods in Finance
  • Author : Anonim
  • Publisher : Elsevier
  • Release : 16 June 2009
GET THIS BOOKMathematical Modelling and Numerical Methods in Finance

Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains. Coverage of all aspects of quantitative finance including models, computational methods and applications Provides an overview of new ideas and

Computational Methods in Finance

Computational Methods in Finance
  • Author : Ali Hirsa
  • Publisher : CRC Press
  • Release : 19 April 2016
GET THIS BOOKComputational Methods in Finance

As today’s financial products have become more complex, quantitative analysts, financial engineers, and others in the financial industry now require robust techniques for numerical analysis. Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex functional equations through numerical methods. The first part of the book describes pricing methods for numerous derivatives under a variety of models. The book reviews common processes for modeling assets in different markets. It then examines many computational approaches for pricing

Implementing Models in Quantitative Finance: Methods and Cases

Implementing Models in Quantitative Finance: Methods and Cases
  • Author : Gianluca Fusai,Andrea Roncoroni
  • Publisher : Springer Science & Business Media
  • Release : 20 December 2007
GET THIS BOOKImplementing 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

Numerical Analysis and Optimization

Numerical Analysis and Optimization
  • Author : Mehiddin Al-Baali,Lucio Grandinetti,Anton Purnama
  • Publisher : Springer
  • Release : 31 May 2018
GET THIS BOOKNumerical Analysis and Optimization

This volume contains 13 selected keynote papers presented at the Fourth International Conference on Numerical Analysis and Optimization. Held every three years at Sultan Qaboos University in Muscat, Oman, this conference highlights novel and advanced applications of recent research in numerical analysis and optimization. Each peer-reviewed chapter featured in this book reports on developments in key fields, such as numerical analysis, numerical optimization, numerical linear algebra, numerical differential equations, optimal control, approximation theory, applied mathematics, derivative-free optimization methods, programming models, and

Applied Computational Economics and Finance

Applied Computational Economics and Finance
  • Author : Mario J. Miranda,Paul L. Fackler
  • Publisher : MIT Press
  • Release : 20 August 2004
GET THIS BOOKApplied Computational Economics and Finance

This book presents a variety of computational methods used to solve dynamic problems in economics and finance. It emphasizes practical numerical methods rather than mathematical proofs and focuses on techniques that apply directly to economic analyses. The examples are drawn from a wide range of subspecialties of economics and finance, with particular emphasis on problems in agricultural and resource economics, macroeconomics, and finance. The book also provides an extensive Web-site library of computer utilities and demonstration programs. The book is

Numerical Methods in Economics

Numerical Methods in Economics
  • Author : Kenneth L. Judd,Kenneth L.. Judd
  • Publisher : MIT Press
  • Release : 21 June 1998
GET THIS BOOKNumerical Methods in Economics

To harness the full power of computer technology, economists need to use a broad range of mathematical techniques. In this book, Kenneth Judd presents techniques from the numerical analysis and applied mathematics literatures and shows how to use them in economic analyses. The book is divided into five parts. Part I provides a general introduction. Part II presents basics from numerical analysis on R^n, including linear equations, iterative methods, optimization, nonlinear equations, approximation methods, numerical integration and differentiation, and

A Workout in Computational Finance

A Workout in Computational Finance
  • Author : Andreas Binder,Michael Aichinger
  • Publisher : John Wiley & Sons
  • Release : 13 August 2013
GET THIS BOOKA Workout in Computational Finance

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 ability to assess their quality, advantages, and limitations. This book offers a thorough introduction to each method, revealing the numerical traps that practitioners frequently fall into. Each method is referenced with practical, real-world examples in