Numerical Methods and Optimization in Finance (ePub)

Name: Numerical Methods and Optimization in Finance
Brand: Elsevier Science & Techn.
SKU: 37555125
Price: 78.95 EUR
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(Sprache: Englisch)

Autoren: Manfred Gilli , Dietmar Maringer , Enrico Schumann

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Numerical Methods and Optimization in Finance, Manfred Gilli, Dietmar Maringer, Enrico Schumann

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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

Autoren-Porträt von Manfred Gilli, Dietmar Maringer, Enrico Schumann

Manfred Gilli is Professor emeritus at the Geneva School of Economics and Management at the University of Geneva, Switzerland, where he has taught numerical methods in economics and finance. He is also a Faculty member of the Swiss Finance Institute, a member of the Advisory Board of Computational Statistics and Data Analysis, and a member of the editorial board of Computational Economics. He formerly served as president of the Society for Computational Economics.

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Bibliographische Angaben

Autoren: Manfred Gilli , Dietmar Maringer , Enrico Schumann
2011, 600 Seiten, Englisch
Verlag: Elsevier Science & Techn.
ISBN-10: 0123756634
ISBN-13: 9780123756633
Erscheinungsdatum: 30.06.2011

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Dateiformat: ePub
Größe: 16 MB
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Englisch

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"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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