Numerical Methods and Optimization in Finance

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  • Author : Manfred Gilli
  • Publisher : Academic Press
  • Pages : 638 pages
  • ISBN : 0128150653
  • Rating : /5 from reviews
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Download or Read online Numerical Methods and Optimization in Finance full in PDF, ePub and kindle. this book written by Manfred Gilli and published by Academic Press which was released on 30 August 2019 with total page 638 pages. We cannot guarantee that Numerical Methods and Optimization in Finance book is available in the library, click Get Book button and read full online book in your kindle, tablet, IPAD, PC or mobile whenever and wherever You Like. 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

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 BOOK 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

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 BOOK Numerical 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

Numerical Methods for Optimization in Finance

Numerical Methods for Optimization in Finance
  • Author : Tobias Lipp
  • Publisher : Unknown
  • Release : 20 September 2021
GET THIS BOOK Numerical Methods for Optimization in Finance

This dissertation contributes to optimization in finance through numerical methods. The input consists of two parts: In part 1, we propose a numerical method to compute a trading strategy for the hedging of a financial derivative with N hedging instruments. The underlying mathematical framework is local risk minimization in discrete time. The method combines Monte Carlo simulation with least squares regression in analogy to the method of Longstaff and Schwartz. We study the proposed method on two example problems. For both

Mathematical Modelling and Numerical Methods in Finance

Mathematical Modelling and Numerical Methods in Finance
  • Author : Philippe G. Ciarlet
  • Publisher : North Holland
  • Release : 20 September 2021
GET THIS BOOK Mathematical 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

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 BOOK 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

Numerical Methods in Finance

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

Handbook of Computational and Numerical Methods in Finance

Handbook of Computational and Numerical Methods in Finance
  • Author : Svetlozar T. Rachev
  • Publisher : Springer Science & Business Media
  • Release : 28 June 2011
GET THIS BOOK Handbook of Computational and Numerical Methods in Finance

The subject of numerical methods in finance has recently emerged as a new discipline at the intersection of probability theory, finance, and numerical analysis. The methods employed bridge the gap between financial theory and computational practice, and provide solutions for complex problems that are difficult to solve by traditional analytical methods. Although numerical methods in finance have been studied intensively in recent years, many theoretical and practical financial aspects have yet to be explored. This volume presents current research and

Numerical Methods in Finance

Numerical Methods in Finance
  • Author : Michèle Breton,Hatem Ben-Ameur
  • Publisher : Springer Science & Business Media
  • Release : 06 May 2005
GET THIS BOOK Numerical Methods in Finance

GERAD celebrates this year its 25th anniversary. The Center was created in 1980 by a small group of professors and researchers of HEC Montreal, McGill University and of the Ecole Polytechnique de Montreal. GERAD's activities achieved sufficient scope to justify its conversion in June 1988 into a Joint Research Centre of HEC Montreal, the Ecole Polytechnique de Montreal and McGill University. In 1996, the U- versite du Quebec a Montreal joined these three institutions. GERAD has fifty members (professors), more than twenty research

Numerical Analysis and Optimization

Numerical Analysis and Optimization
  • Author : Mehiddin Al-Baali,Lucio Grandinetti,Anton Purnama
  • Publisher : Springer
  • Release : 16 July 2015
GET THIS BOOK Numerical Analysis and Optimization

Presenting the latest findings in the field of numerical analysis and optimization, this volume balances pure research with practical applications of the subject. Accompanied by detailed tables, figures, and examinations of useful software tools, this volume will equip the reader to perform detailed and layered analysis of complex datasets. Many real-world complex problems can be formulated as optimization tasks. Such problems can be characterized as large scale, unconstrained, constrained, non-convex, non-differentiable, and discontinuous, and therefore require adequate computational methods, algorithms,

Handbook of Applied Computational Economics and Finance

Handbook of Applied Computational Economics and Finance
  • Author : Bladimir Baranauskaus
  • Publisher : Koros Press
  • Release : 01 April 2013
GET THIS BOOK Handbook of Applied Computational Economics and Finance

Presenting a variety of computational methods used to solve dynamic problems in economics and finance, this book 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.

Computational Finance

Computational Finance
  • Author : George Levy
  • Publisher : Elsevier
  • Release : 17 December 2003
GET THIS BOOK Computational Finance

Computational Finance presents a modern computational approach to mathematical finance within the Windows environment, and contains financial algorithms, mathematical proofs and computer code in C/C++. The author illustrates how numeric components can be developed which allow financial routines to be easily called by the complete range of Windows applications, such as Excel, Borland Delphi, Visual Basic and Visual C++. These components permit software developers to call mathematical finance functions more easily than in corresponding packages. Although these packages may

Numerical Probability

Numerical Probability
  • Author : Gilles Pagès
  • Publisher : Springer
  • Release : 31 July 2018
GET THIS BOOK Numerical Probability

This textbook provides a self-contained introduction to numerical methods in probability with a focus on applications to finance. Topics covered include the Monte Carlo simulation (including simulation of random variables, variance reduction, quasi-Monte Carlo simulation, and more recent developments such as the multilevel paradigm), stochastic optimization and approximation, discretization schemes of stochastic differential equations, as well as optimal quantization methods. The author further presents detailed applications to numerical aspects of pricing and hedging of financial derivatives, risk measures (such as