Numerical Methods and Optimization in Finance
Gilli, Manfred; Maringer, Dietmar; Schumann BA In Economics And Law. MSC In Economics. Ph.D. In Econometrics., Enrico
Language: English
Published by Academic Press, 2011
- Hardcover
- New
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In English.
Seller Inventory # ria9780123756626_new
- Title
- Numerical Methods and Optimization in Finance
- Author
- Gilli, Manfred; Maringer, Dietmar; Schumann BA In Economics And Law. MSC In Economics. Ph.D. In Econometrics., Enrico
- Publisher
- Academic Press
- Publication year
- 2011
- Condition
- New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 0123756626
- ISBN 13
- 9780123756626
- Item weight
- 1,090 grams
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
"Synopsis" may belong to another edition of this title.
About the Author
Dietmar Maringer is Professor of Computational Economics and Finance at the University of Basel, Switzerland, and a faculty member at the Geneva School of Economics and Management. His research interests include non-deterministic methods such as heuristic optimization and simulations, computational learning, and empirical methods, typically with applications in trading, risk, and financial management.
Enrico Schumann holds a Ph.D. in econometrics, an MSC in economics, and a BA in economics and law. He has written on numerical methods and their application in finance, with a focus on asset allocation. His research interests include quantitative investment strategies and portfolio construction, computationally-intensive methods (in particular, optimization), and automated data processing and analysis.
"About the title" may belong to another edition of this title.
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