Numerical Methods and Optimization in Finance

Gilli, Manfred, Maringer, Dietmar, Schumann, Enrico

  • 出版商: Academic Press
  • 出版日期: 2019-08-16
  • 售價: $4,520
  • 貴賓價: 9.5$4,294
  • 語言: 英文
  • 頁數: 660
  • 裝訂: Quality Paper - also called trade paper
  • ISBN: 0128150653
  • ISBN-13: 9780128150658

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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