Numerical Methods and Optimization in Finance - Softcover

Gilli, Manfred; Maringer, Dietmar; Schumann, Enrico

Softcover

ISBN 10: 1493301187 ISBN 13: 9781493301188

Publisher: Academic Press, 2011

Synopsis

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

About this title

About the Author

VIP Value Investment Professionals, Switzerland

From the Back Cover

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.

Edition details

• Publisher: Academic Press
• Publication date: 2011
• Language: English
• ISBN 10: 1493301187
• ISBN 13: 9781493301188
• Binding: Paperback
• Edition number: 1
• Number of pages: 584