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
CLICK HERE TO GET THIS BOOK >>>Numerical Methods and Optimization in Finance

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 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 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 : 15 August 2022
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

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 : 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

Optimal Financial Decision Making under Uncertainty

Optimal Financial Decision Making under Uncertainty
  • Author : Giorgio Consigli,Daniel Kuhn,Paolo Brandimarte
  • Publisher : Springer
  • Release : 17 October 2016
GET THIS BOOK Optimal Financial Decision Making under Uncertainty

The scope of this volume is primarily to analyze from different methodological perspectives similar valuation and optimization problems arising in financial applications, aimed at facilitating a theoretical and computational integration between methods largely regarded as alternatives. Increasingly in recent years, financial management problems such as strategic asset allocation, asset-liability management, as well as asset pricing problems, have been presented in the literature adopting formulation and solution approaches rooted in stochastic programming, robust optimization, stochastic dynamic programming (including approximate SDP) methods,

Topics in Numerical Methods for Finance

Topics in Numerical Methods for Finance
  • Author : Mark Cummins,Finbarr Murphy,John J.H. Miller
  • Publisher : Springer Science & Business Media
  • Release : 15 July 2012
GET THIS BOOK Topics in Numerical Methods for Finance

Presenting state-of-the-art methods in the area, the book begins with a presentation of weak discrete time approximations of jump-diffusion stochastic differential equations for derivatives pricing and risk measurement. Using a moving least squares reconstruction, a numerical approach is then developed that allows for the construction of arbitrage-free surfaces. Free boundary problems are considered next, with particular focus on stochastic impulse control problems that arise when the cost of control includes a fixed cost, common in financial applications. The text proceeds

Dynamic Analysis in Complex Economic Environments

Dynamic Analysis in Complex Economic Environments
  • Author : Herbert Dawid,Jasmina Arifovic
  • Publisher : Springer Nature
  • Release : 22 December 2020
GET THIS BOOK Dynamic Analysis in Complex Economic Environments

This book analyses decision-making in dynamic economic environments. By applying a wide range of methodological approaches, combining both analytical and computational methods, the contributors examine various aspects of optimal firm behaviour and relevant policy areas. Topics covered include optimal control, dynamic games, economic decision-making, and applications in finance and economics, as well as policy implications in areas such as pollution regulation. This book is dedicated to Christophe Deissenberg, a well-known and distinguished scholar of economic dynamics and computational economics. It

Simulation and Optimization in Finance

Simulation and Optimization in Finance
  • Author : Dessislava A. Pachamanova,Frank J. Fabozzi
  • Publisher : John Wiley & Sons
  • Release : 23 September 2010
GET THIS BOOK Simulation and Optimization in Finance

An introduction to the theory and practice of financial simulation and optimization In recent years, there has been a notable increase in the use of simulation and optimization methods in the financial industry. Applications include portfolio allocation, risk management, pricing, and capital budgeting under uncertainty. This accessible guide provides an introduction to the simulation and optimization techniques most widely used in finance, while at the same time offering background on the financial concepts in these applications. In addition, it clarifies

Numerical Methods in Finance

Numerical Methods in Finance
  • Author : René Carmona,Pierre Del Moral,Peng Hu,Nadia Oudjane
  • Publisher : Springer Science & Business Media
  • Release : 23 March 2012
GET THIS BOOK Numerical Methods in Finance

Numerical methods in finance have emerged as a vital field at the crossroads of probability theory, finance and numerical analysis. Based on presentations given at the workshop Numerical Methods in Finance held at the INRIA Bordeaux (France) on June 1-2, 2010, this book provides an overview of the major new advances in the numerical treatment of instruments with American exercises. Naturally it covers the most recent research on the mathematical theory and the practical applications of optimal stopping problems as they

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 BOOK A 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