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Author: Manfred Gilli
Publisher: Academic Press
ISBN: 0128150653
Category :
Languages : en
Pages : 638
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Book Description
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
Author: Manfred Gilli
Publisher: Academic Press
ISBN: 0128150653
Category :
Languages : en
Pages : 638
Get Book
Book Description
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
Author: Manfred Gilli
Publisher: Academic Press
ISBN: 0128150661
Category : Business & Economics
Languages : en
Pages : 640
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Book Description
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
Author: Manfred Gilli
Publisher: Academic Press
ISBN: 0123756634
Category : Mathematics
Languages : en
Pages : 600
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Book Description
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
Author: Paolo Brandimarte
Publisher: John Wiley & Sons
ISBN: 1118625579
Category : Mathematics
Languages : en
Pages : 501
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Book Description
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 provides an essential foundation in finance and numerical analysis in addition to background material for students from both engineering and economics perspectives. A wide range of topics is covered, including standard numerical analysis methods, Monte Carlo methods to simulate systems affected by significant uncertainty, and optimization methods to find an optimal set of decisions. Among this book's most outstanding features is the integration of MATLAB?, which helps students and practitioners solve relevant problems in finance, such as portfolio management and derivatives pricing. This tutorial is useful in connecting theory with practice in the application of classical numerical methods and advanced methods, while illustrating underlying algorithmic concepts in concrete terms. Newly featured in the Second Edition: * In-depth treatment of Monte Carlo methods with due attention paid to variance reduction strategies * New appendix on AMPL in order to better illustrate the optimization models in Chapters 11 and 12 * New chapter on binomial and trinomial lattices * Additional treatment of partial differential equations with two space dimensions * Expanded treatment within the chapter on financial theory to provide a more thorough background for engineers not familiar with finance * New coverage of advanced optimization methods and applications later in the text Numerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition presents basic treatments and more specialized literature, and it also uses algebraic languages, such as AMPL, to connect the pencil-and-paper statement of an optimization model with its solution by a software library. Offering computational practice in both financial engineering and economics fields, this book equips practitioners with the necessary techniques to measure and manage risk.
Author: L. C. G. Rogers
Publisher: Cambridge University Press
ISBN: 9780521573542
Category : Business & Economics
Languages : en
Pages : 348
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Book Description
Numerical Methods in Finance describes a wide variety of numerical methods used in financial analysis.
Author: Michèle Breton
Publisher: Springer Science & Business Media
ISBN: 9780387251172
Category : Business & Economics
Languages : en
Pages : 282
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Book Description
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 associates and post doctoral students and more than two hundreds master and Ph.D. students. GERAD is a multi-university center and a vital forum for the devel- ment of operations research. Its mission is defined around the following four complementarily objectives: • The original and expert contribution to all research fields in GERAD's area of expertise; • The dissemination of research results in the best scientific outlets as well as in the society in general; • The training of graduate students and post doctoral researchers; • The contribution to the economic community by solving important problems and providing transferable tools.
Author: Gerard Cornuejols
Publisher:
ISBN: 9781107168299
Category : Finance
Languages : en
Pages : 345
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Book Description
Optimization models play an increasingly important role in financial decisions. This is the first textbook devoted to explaining how recent advances in optimization models, methods and software can be applied to solve problems in computational finance more efficiently and accurately. Chapters discussing the theory and efficient solution methods for all major classes of optimization problems alternate with chapters illustrating their use in modeling problems of mathematical finance. The reader is guided through topics such as volatility estimation, portfolio optimization problems and constructing an index fund, using techniques such as nonlinear optimization models, quadratic programming formulations and integer programming models respectively. The book is based on Master's courses in financial engineering and comes with worked examples, exercises and case studies. It will be welcomed by applied mathematicians, operational researchers and others who work in mathematical and computational finance and who are seeking a text for self-learning or for use with courses.
Author: Mehiddin Al-Baali
Publisher: Springer Nature
ISBN: 3030720403
Category : Mathematics
Languages : en
Pages : 307
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Book Description
This book gathers selected, peer-reviewed contributions presented at the Fifth International Conference on Numerical Analysis and Optimization (NAO-V), which was held at Sultan Qaboos University, Oman, on January 6-9, 2020. Each chapter reports on developments in key fields, such as numerical analysis, numerical optimization, numerical linear algebra, numerical differential equations, optimal control, approximation theory, applied mathematics, derivative-free optimization methods, programming models, and challenging applications that frequently arise in statistics, econometrics, finance, physics, medicine, biology, engineering and industry. Many real-world, complex problems can be formulated as optimization tasks, and can be characterized further as large scale, unconstrained, constrained, non-convex, nondifferentiable or discontinuous, and therefore require adequate computational methods, algorithms and software tools. These same tools are often employed by researchers working in current IT hot topics, such as big data, optimization and other complex numerical algorithms in the cloud, devising special techniques for supercomputing systems. This interdisciplinary view permeates the work included in this volume. The NAO conference series is held every three years at Sultan Qaboos University, with the aim of bringing together a group of international experts and presenting novel and advanced applications to facilitate interdisciplinary studies among pure scientific and applied knowledge. It is a venue where prominent scientists gather to share innovative ideas and know-how relating to new scientific methodologies, to promote scientific exchange, to discuss possible future cooperations, and to promote the mobility of local and young researchers.
Author: Ali Hirsa
Publisher: CRC Press
ISBN: 1466576049
Category : Business & Economics
Languages : en
Pages : 440
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Book Description
As today's financial products have become more complex, quantitative analysts, financial engineers, and others in the financial industry now require robust techniques for numerical analysis. Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex functional equations through numerical methods. The f
Author: Peter E. Kloeden
Publisher: Springer Science & Business Media
ISBN: 3662126168
Category : Mathematics
Languages : en
Pages : 666
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Book Description
The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP
