Numerical Methods and Optimization in Finance

Written By Manfred Gilli
Numerical Methods and Optimization in Finance
  • Publsiher : Academic Press
  • Release : 30 August 2019
  • ISBN : 0128150653
  • Pages : 638 pages
  • Rating : 4/5 from 21 reviews
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Read or download book entitled Numerical Methods and Optimization in Finance written by Manfred Gilli which was release on 30 August 2019, this book published by Academic Press. Available in PDF, EPUB and Kindle Format. Book excerpt: 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 Date : 2019-08-30
  • Total pages : 638
  • ISBN : 0128150653
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Summary : 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, ...

Numerical Methods and Optimization in Finance

Numerical Methods and Optimization in Finance
  • Author : Manfred Gilli,Dietmar Maringer,Enrico Schumann
  • Publisher : Academic Press
  • Release Date : 2019-08-16
  • Total pages : 638
  • ISBN : 0128150653
GET BOOK

Summary : 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 ...

Numerical Methods in Finance and Economics

Numerical Methods in Finance and Economics
  • Author : Paolo Brandimarte
  • Publisher : John Wiley & Sons
  • Release Date : 2013-06-06
  • Total pages : 696
  • ISBN : 0128150653
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Summary : 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 ...

Numerical Methods for Optimization in Finance

Numerical Methods for Optimization in Finance
  • Author : Tobias Lipp
  • Publisher : Unknown
  • Release Date : 2012
  • Total pages : 126
  • ISBN : 0128150653
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Summary : 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. ...

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 Date : 2011-06-28
  • Total pages : 435
  • ISBN : 0128150653
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Summary : 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 ...

Sports Economics Present and Future Impact on General Economics

Sports Economics  Present and Future Impact on General Economics
  • Author : Ruud H. Koning,Wolfgang Maennig
  • Publisher : Walter de Gruyter GmbH & Co KG
  • Release Date : 2016-11-21
  • Total pages : 192
  • ISBN : 0128150653
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Summary : Download or read online Sports Economics Present and Future Impact on General Economics written by Ruud H. Koning,Wolfgang Maennig, published by Walter de Gruyter GmbH & Co KG which was released on 2016-11-21. Get Sports Economics Present and Future Impact on General Economics Books now! Available in PDF, ePub ...

Numerical Methods in Finance

Numerical Methods in Finance
  • Author : Paolo Brandimarte
  • Publisher : John Wiley & Sons
  • Release Date : 2003-10-13
  • Total pages : 432
  • ISBN : 0128150653
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Summary : 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 ...

Nonlinear Optimization with Financial Applications

Nonlinear Optimization with Financial Applications
  • Author : Michael Bartholomew-Biggs
  • Publisher : Springer Science & Business Media
  • Release Date : 2006-07-21
  • Total pages : 261
  • ISBN : 0128150653
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Summary : This instructive book introduces the key ideas behind practical nonlinear optimization, accompanied by computational examples and supporting software. It combines computational finance with an important class of numerical techniques....

Numerical Methods for Variance Control

Numerical Methods for Variance Control
  • Author : Harold Joseph Kushner,Lefschetz Center for Dynamical Systems,Brown University. Center for Control Sciences,Brown University. Division of Applied Mathematics
  • Publisher : Unknown
  • Release Date : 1998
  • Total pages : 28
  • ISBN : 0128150653
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Summary : Download or read online Numerical Methods for Variance Control written by Harold Joseph Kushner,Lefschetz Center for Dynamical Systems,Brown University. Center for Control Sciences,Brown University. Division of Applied Mathematics, published by which was released on 1998. Get Numerical Methods for Variance Control Books now! Available in PDF, ePub and ...

Optimal Financial Decision Making under Uncertainty

Optimal Financial Decision Making under Uncertainty
  • Author : Giorgio Consigli,Daniel Kuhn,Paolo Brandimarte
  • Publisher : Springer
  • Release Date : 2016-10-17
  • Total pages : 298
  • ISBN : 0128150653
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Summary : 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, ...

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 Date : 2012-07-15
  • Total pages : 204
  • ISBN : 0128150653
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Summary : 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 ...

Dynamic Analysis in Complex Economic Environments

Dynamic Analysis in Complex Economic Environments
  • Author : Herbert Dawid,Jasmina Arifovic
  • Publisher : Springer Nature
  • Release Date : 2020-12-22
  • Total pages : 239
  • ISBN : 0128150653
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Summary : 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, ...

Handbook of High Frequency Trading and Modeling in Finance

Handbook of High Frequency Trading and Modeling in Finance
  • Author : Ionut Florescu,Maria C. Mariani,H. Eugene Stanley,Frederi G. Viens
  • Publisher : John Wiley & Sons
  • Release Date : 2016-03-29
  • Total pages : 456
  • ISBN : 0128150653
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Summary : Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic approaches to implementing quantitative activities with high-frequency financial data. Introducing new and established mathematical foundations necessary to analyze realistic market models and scenarios, ...

Simulation and Optimization in Finance

Simulation and Optimization in Finance
  • Author : Dessislava A. Pachamanova,Frank J. Fabozzi
  • Publisher : John Wiley & Sons
  • Release Date : 2010-09-23
  • Total pages : 896
  • ISBN : 0128150653
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Summary : 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 ...

Numerical Methods in Finance

Numerical Methods in Finance
  • Author : René Carmona,Pierre Del Moral,Peng Hu,Nadia Oudjane
  • Publisher : Springer Science & Business Media
  • Release Date : 2012-03-23
  • Total pages : 474
  • ISBN : 0128150653
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Summary : 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 ...