Numerical Methods and Optimization in Finance
4/5
()
Currently unavailable
Currently unavailable
About this ebook
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
Manfred Gilli
Manfred Gilli is Professor emeritus at the Geneva School of Economics and Management at the University of Geneva, Switzerland, where he has taught numerical methods in economics and finance. He is also a Faculty member of the Swiss Finance Institute, a member of the Advisory Board of Computational Statistics and Data Analysis, and a member of the editorial board of Computational Economics. He formerly served as president of the Society for Computational Economics.
Related to Numerical Methods and Optimization in Finance
Related ebooks
Optimization Algorithms on Matrix Manifolds Rating: 4 out of 5 stars4/5A Computational Framework for Segmentation and Grouping Rating: 0 out of 5 stars0 ratingsConstrained Optimization and Lagrange Multiplier Methods Rating: 0 out of 5 stars0 ratingsIntroduction to the Numerical Solution of Markov Chains Rating: 0 out of 5 stars0 ratingsEssentials of Scientific Computing: Numerical Methods for Science and Engineering Rating: 0 out of 5 stars0 ratingsNumerical Methods in Finance: A MATLAB-Based Introduction Rating: 0 out of 5 stars0 ratingsPractical Data Analysis in Chemistry Rating: 5 out of 5 stars5/5Extensions of Linear-Quadratic Control, Optimization and Matrix Theory Rating: 0 out of 5 stars0 ratingsMathematical Methods for Geophysics and Space Physics Rating: 0 out of 5 stars0 ratingsApplied Statistical Methods Rating: 1 out of 5 stars1/5A Posteriori Error Estimation in Finite Element Analysis Rating: 0 out of 5 stars0 ratingsQuantum Mechanics and Its Emergent Macrophysics Rating: 4 out of 5 stars4/5Fundamentals of Matrix Computations Rating: 0 out of 5 stars0 ratingsData Analysis for Scientists and Engineers Rating: 0 out of 5 stars0 ratingsFuzzy Expert Systems and Fuzzy Reasoning Rating: 0 out of 5 stars0 ratingsStable Adaptive Control and Estimation for Nonlinear Systems: Neural and Fuzzy Approximator Techniques Rating: 0 out of 5 stars0 ratingsAverage Case Analysis of Algorithms on Sequences Rating: 0 out of 5 stars0 ratingsOptimization Methods for Logical Inference Rating: 0 out of 5 stars0 ratingsHandbook of Mathematical Formulas Rating: 4 out of 5 stars4/5A Matrix Handbook for Statisticians Rating: 0 out of 5 stars0 ratingsBasic Mathematics for the Biological and Social Sciences Rating: 0 out of 5 stars0 ratingsIndependent Component Analysis Rating: 4 out of 5 stars4/5Computational Methods in Engineering Boundary Value Problems Rating: 0 out of 5 stars0 ratingsApplied Iterative Methods Rating: 0 out of 5 stars0 ratingsStochastic Simulation and Applications in Finance with MATLAB Programs Rating: 3 out of 5 stars3/5Statistics in the Social Sciences: Current Methodological Developments Rating: 0 out of 5 stars0 ratingsDifferential Equations: Classical to Controlled Rating: 0 out of 5 stars0 ratingsThe Mathematics of Derivatives: Tools for Designing Numerical Algorithms Rating: 3 out of 5 stars3/5Wave Scattering by Time-Dependent Perturbations: An Introduction Rating: 5 out of 5 stars5/5An Introduction to Numerical Analysis for Electrical and Computer Engineers Rating: 0 out of 5 stars0 ratings
Finance & Money Management For You
The Psychology of Money: Timeless lessons on wealth, greed, and happiness Rating: 5 out of 5 stars5/5Strategy Skills: Techniques to Sharpen the Mind of the Strategist Rating: 4 out of 5 stars4/5The Intelligent Investor, Rev. Ed: The Definitive Book on Value Investing Rating: 4 out of 5 stars4/5How to Make Money in Stocks: A Winning System in Good Times and Bad, Fourth Edition Rating: 5 out of 5 stars5/5The Richest Man in Babylon Rating: 4 out of 5 stars4/5Quiet Leadership: Six Steps to Transforming Performance at Work Rating: 4 out of 5 stars4/5Just Keep Buying: Proven ways to save money and build your wealth Rating: 5 out of 5 stars5/5The Great Awakening: Defeating the Globalists and Launching the Next Great Renaissance Rating: 4 out of 5 stars4/5The 7 Habits of Highly Effective People: 15th Anniversary Infographics Edition Rating: 5 out of 5 stars5/5Principles: Life and Work Rating: 4 out of 5 stars4/5The Freedom Shortcut: How Anyone Can Generate True Passive Income Online, Escape the 9-5, and Live Anywhere Rating: 5 out of 5 stars5/5The Great Reset: And the War for the World Rating: 4 out of 5 stars4/5The Tax and Legal Playbook: Game-Changing Solutions To Your Small Business Questions Rating: 3 out of 5 stars3/5The Book on Advanced Tax Strategies: Cracking the Code for Savvy Real Estate Investors Rating: 4 out of 5 stars4/5How Rich People Think: Condensed Edition Rating: 4 out of 5 stars4/5Good to Great: Why Some Companies Make the Leap...And Others Don't Rating: 4 out of 5 stars4/5The Total Money Makeover by Dave Ramsey: Summary and Analysis Rating: 4 out of 5 stars4/5Financial Words You Should Know: Over 1,000 Essential Investment, Accounting, Real Estate, and Tax Words Rating: 4 out of 5 stars4/5Set for Life: An All-Out Approach to Early Financial Freedom Rating: 4 out of 5 stars4/5Family Trusts: A Guide for Beneficiaries, Trustees, Trust Protectors, and Trust Creators Rating: 5 out of 5 stars5/523 Things They Don't Tell You about Capitalism Rating: 4 out of 5 stars4/5Buy, Rehab, Rent, Refinance, Repeat: The BRRRR Rental Property Investment Strategy Made Simple Rating: 5 out of 5 stars5/5
Reviews for Numerical Methods and Optimization in Finance
3 ratings0 reviews