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 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. ...

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
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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 ...

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 ...

Handbook of Computational and Numerical Methods in Finance

Handbook of Computational and Numerical Methods in Finance
  • Author : Svetlozar T. Rachev
  • Publisher : Birkhäuser
  • Release Date : 2012-10-21
  • 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 ...

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 : 2004-06-29
  • 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 ...

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....

Handbook of Applied Computational Economics and Finance

Handbook of Applied Computational Economics and Finance
  • Author : Bladimir Baranauskaus
  • Publisher : Koros Press
  • Release Date : 2013-04
  • Total pages : 300
  • ISBN : 0128150653
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Summary : 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 ...

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 ...

Numerical Analysis and Optimization

Numerical Analysis and Optimization
  • Author : Mehiddin Al-Baali,Lucio Grandinetti,Anton Purnama
  • Publisher : Springer
  • Release Date : 2015-07-16
  • Total pages : 344
  • ISBN : 0128150653
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Summary : 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 ...

Computational Finance

Computational Finance
  • Author : George Levy
  • Publisher : Elsevier
  • Release Date : 2003-12-17
  • Total pages : 456
  • ISBN : 0128150653
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Summary : 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, ...

Numerical Probability

Numerical Probability
  • Author : Gilles Pagès
  • Publisher : Springer
  • Release Date : 2018-07-31
  • Total pages : 579
  • ISBN : 0128150653
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Summary : 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 ...

Numerical Methods for Optimal Control Problems

Numerical Methods for Optimal Control Problems
  • Author : Maurizio Falcone,Roberto Ferretti,Lars Grüne,William M. McEneaney
  • Publisher : Springer
  • Release Date : 2019-01-20
  • Total pages : 268
  • ISBN : 0128150653
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Summary : This work presents recent mathematical methods in the area of optimal control with a particular emphasis on the computational aspects and applications. Optimal control theory concerns the determination of control strategies for complex dynamical systems, in order to optimize some measure of their performance. Started in the 60's under the ...

Numerical Methods in Finance

Numerical Methods in Finance
  • Author : Michèle Breton,Hatem Ben-Ameur
  • Publisher : Springer Science & Business Media
  • Release Date : 2005-05-06
  • Total pages : 258
  • ISBN : 0128150653
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Summary : 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 ...