Numerical Methods and Optimization in Finance - Manfred Gilli

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Numerical Methods and Optimization in Finance

By: Manfred Gilli, Dietmar Maringer, Enrico Schumann

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Paperback | 16 August 2019 | Edition Number 2

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640 Pages

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27.94 x 21.59 x 3.28

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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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