Numerical Methods and Optimization in Finance

Gilli, Manfred|Maringer, Dietmar|Schumann, Enrico

ISBN 10: 0123756626 / ISBN 13: 9780123756626

Published by Academic Press, 2011

About this Item

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.

Seller Inventory # 897394180

Bibliographic Details

• Title: Numerical Methods and Optimization in Finance
• Publisher: Academic Press
• Publication Date: 2011
• Language: English
• ISBN 10: 0123756626
• ISBN 13: 9780123756626
• Binding: Hardcover
• Condition: New

About this title

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 the Authors

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.

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.