Numerical Methods and Optimization in Finance

By: Manfred Gilli, Dietmar Maringer, Enrico Schumann

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Hardcover | 11 July 2011 | Edition Number 1

At a Glance

Hardcover
600 Pages

Dimensions(cm)
22.86 x 15.88 x 3.18

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Published: 16th August 2019

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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 steps to others. At the same time, the applications are relevant enough to make the book a useful reference. Matlab and R sample code is provided in the text and can be downloaded from the book's website.

Shows ways to build and implement tools that help test ideas
Focuses on the application of heuristics; standard methods receive limited attention
Presents as separate chapters problems from portfolio optimization, estimation of econometric models, and calibration of option pricing models

Industry Reviews

"This book aims at providing guidance which is practical and useful for practitioners in finance with emphasis on computational techniques which are manageable by modern day desktop personal computers' processing power when building, testing, comparing and using mathematical and econometric models of finance in the pursuit of analysis of actual financial market data in day to day activities of financial analysts, be they students of courses in finance programs or analysts in financial institutions." --Zentralblatt MATH 2012-1236-91001 "With as much rigor as can be mastered by anyone in the still-developing field of computational finance and a sense of humor, the authors unravel its mysteries. The presentations are clear and the models are practical --- these are the two ingredients that make for a valuable book in this field. The book is both practical in scope and rigorous on its theoretical foundations. It is a must for anyone who needs to apply quantitative methods for financial planning --- and who doesn't need to in our days?" --Stavros A. Zenios, University of Cyprus and the Wharton Financial Institutions Center "Numerical Methods and Optimization in Finance is an excellent introduction to computational science. The combination of methodology, software, and examples allows the reader to quickly grasp and apply serious computational ideas." --Kenneth L. Judd, Hoover Institution, Stanford University

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You Can Find This Book In

Non-Fiction Accounting & Finance Finance Mathematics Optimisation Kids & Children's Books Educational Material Business Studies & Economics Educational Material Economics Microeconomics

Introduction
Fundamentals
Numerical Analysis in a Nutshell
Linear Equations and Least-Squares Problems
Finite Difference Methods
Binomial Trees
Simulation
Generating Random Numbers
Modelling Dependencies
A Gentle Introduction to Financial Simulation
Financial Simulation at Work: Some Case Studies
Optimization
Optimization Problems in Finance
Basic Methods
Heuristic Methods in a Nutshell
Portfolio Optimization
Econometric Models
Calibrating Option Pricing Models
Table of Contents provided by Publisher. All Rights Reserved.

Numerical Methods and Optimization in Finance

At a Glance

New Edition

Hardcover

Industry Reviews

Shipping

How to return your order

Defective items

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