Numerical Methods and Optimization in Finance

Written By Manfred Gilli
Numerical Methods and Optimization in Finance
  • Publsiher : Academic Press
  • Release : 16 August 2019
  • ISBN : 0128150661
  • Pages : 638 pages
  • Rating : /5 from reviews
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Download or read book entitled Numerical Methods and Optimization in Finance by author: Manfred Gilli which was release on 16 August 2019 and published by Academic Press with total page 638 pages . This book available in PDF, EPUB and Kindle Format. 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 : 2019-08-16
  • Total pages : 638
  • ISBN : 0128150661
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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 for Optimization in Finance

Numerical Methods for Optimization in Finance
  • Author : Tobias Lipp
  • Publisher : Unknown
  • Release Date : 2012
  • Total pages : 126
  • ISBN : 0128150661
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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 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 : 0128150661
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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 in Finance

Numerical Methods in Finance
  • Author : Paolo Brandimarte
  • Publisher : John Wiley & Sons
  • Release Date : 2003-10-13
  • Total pages : 432
  • ISBN : 0128150661
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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 ...

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 : 0128150661
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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 ...

Numerical Methods in Finance

Numerical Methods in Finance
  • Author : University of Cambridge. #The #Isaac Newton Institute of Mathematical Sciences (Cambridge)
  • Publisher : Cambridge University Press
  • Release Date : 1997-06-26
  • Total pages : 326
  • ISBN : 0128150661
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Summary : Numerical Methods in Finance describes a wide variety of numerical methods used in financial analysis....

Nonlinear Optimization with Financial Applications

Nonlinear Optimization with Financial Applications
  • Author : Michael Bartholomew-Biggs
  • Publisher : Springer Science & Business Media
  • Release Date : 2005-01-04
  • Total pages : 261
  • ISBN : 0128150661
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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 in Economics

Numerical Methods in Economics
  • Author : Kenneth L. Judd,Kenneth L.. Judd
  • Publisher : MIT Press
  • Release Date : 1998
  • Total pages : 633
  • ISBN : 0128150661
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Summary : To harness the full power of computer technology, economists need to use a broad range of mathematical techniques. In this book, Kenneth Judd presents techniques from the numerical analysis and applied mathematics literatures and shows how to use them in economic analyses. The book is divided into five parts. Part ...

Numerical Optimization

Numerical Optimization
  • Author : Jorge Nocedal,Stephen Wright
  • Publisher : Springer Science & Business Media
  • Release Date : 2006-12-11
  • Total pages : 664
  • ISBN : 0128150661
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Summary : Optimization is an important tool used in decision science and for the analysis of physical systems used in engineering. One can trace its roots to the Calculus of Variations and the work of Euler and Lagrange. This natural and reasonable approach to mathematical programming covers numerical methods for finite-dimensional optimization ...

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 : 0128150661
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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 Engineering Applications

Nonlinear Optimization with Engineering Applications
  • Author : Michael Bartholomew-Biggs
  • Publisher : Springer Science & Business Media
  • Release Date : 2008-12-16
  • Total pages : 280
  • ISBN : 0128150661
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Summary : This textbook examines a broad range of problems in science and engineering, describing key numerical methods applied to real life. The case studies presented are in such areas as data fitting, vehicle route planning and optimal control, scheduling and resource allocation, sensitivity calculations and worst-case analysis. Chapters are self-contained with ...

Numerical Methods

Numerical Methods
  • Author : Germund Dahlquist,Åke Björck
  • Publisher : Courier Corporation
  • Release Date : 2012-04-26
  • Total pages : 592
  • ISBN : 0128150661
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Summary : DIVPractical text strikes balance between students' requirements for theoretical treatment and the needs of practitioners, with best methods for both large- and small-scale computing. Many worked examples and problems. 1974 edition. /div...

Computational Finance

Computational Finance
  • Author : George Levy
  • Publisher : Butterworth-Heinemann
  • Release Date : 2004-02-10
  • Total pages : 443
  • ISBN : 0128150661
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Summary : Accompanying CD-ROM contains ... "working computer code, demonstration applications, and also PDF versions of several research articles that are referred to in the book." -- d.j....

Numerical Analysis and Its Applications

Numerical Analysis and Its Applications
  • Author : Ivan Dimov,István Faragó,Lubin Vulkov
  • Publisher : Springer
  • Release Date : 2017-04-11
  • Total pages : 785
  • ISBN : 0128150661
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Summary : This book constitutes thoroughly revised selected papers of the 6th International Conference on Numerical Analysis and Its Applications, NAA 2016, held in Lozenetz, Bulgaria, in June 2016. The 90 revised papers presented were carefully reviewed and selected from 98 submissions. The conference offers a wide range of the following topics: Numerical Modeling; Numerical Stochastics; ...

Antieigenvalue Analysis

Antieigenvalue Analysis
  • Author : Karl Gustafson,Karl E. Gustafson
  • Publisher : World Scientific
  • Release Date : 2012
  • Total pages : 244
  • ISBN : 0128150661
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Summary : Karl Gustafson is the creater of the theory of antieigenvalue analysis. Its applications spread through fields as diverse as numerical analysis, wavelets, statistics, quantum mechanics, and finance. Antieigenvalue analysis, with its operator trigonometry, is a unifying language which enables new and deeper geometrical understanding of essentially every result in operator ...