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Numerical Methods And Optimization In Finance

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Numerical Methods and Optimization in Finance

Numerical Methods and Optimization in Finance Book
Author : Manfred Gilli,Dietmar Maringer,Enrico Schumann
Publisher : Academic Press
Release : 2019-08-30
ISBN : 0128150653
Language : En, Es, Fr & De

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Book Description :

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 Book
Author : Manfred Gilli,Dietmar Maringer,Enrico Schumann
Publisher : Academic Press
Release : 2019-08-16
ISBN : 0128150661
Language : En, Es, Fr & De

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Book Description :

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 Book
Author : Manfred Gilli,Dietmar Maringer,Enrico Schumann
Publisher : Academic Press
Release : 2011-06-30
ISBN : 0123756634
Language : En, Es, Fr & De

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Book Description :

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

Numerical Methods and Optimization in Finance

Numerical Methods and Optimization in Finance Book
Author : Manfred Gilli,Dietmar Maringer,Enrico Schumann
Publisher : Academic Press
Release : 2011
ISBN : 0123756626
Language : En, Es, Fr & De

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Book Description :

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

Numerical Methods in Finance and Economics

Numerical Methods in Finance and Economics Book
Author : Paolo Brandimarte
Publisher : John Wiley & Sons
Release : 2013-06-06
ISBN : 1118625579
Language : En, Es, Fr & De

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Book Description :

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 MATLAB?-Based Introduction, Second Edition bridges the gap between financial theory and computational practice while showing readers how to utilize MATLAB?--the powerful numerical computing environment--for financial applications. The author provides an essential foundation in finance and numerical analysis in addition to background material for students from both engineering and economics perspectives. A wide range of topics is covered, including standard numerical analysis methods, Monte Carlo methods to simulate systems affected by significant uncertainty, and optimization methods to find an optimal set of decisions. Among this book's most outstanding features is the integration of MATLAB?, which helps students and practitioners solve relevant problems in finance, such as portfolio management and derivatives pricing. This tutorial is useful in connecting theory with practice in the application of classical numerical methods and advanced methods, while illustrating underlying algorithmic concepts in concrete terms. Newly featured in the Second Edition: * In-depth treatment of Monte Carlo methods with due attention paid to variance reduction strategies * New appendix on AMPL in order to better illustrate the optimization models in Chapters 11 and 12 * New chapter on binomial and trinomial lattices * Additional treatment of partial differential equations with two space dimensions * Expanded treatment within the chapter on financial theory to provide a more thorough background for engineers not familiar with finance * New coverage of advanced optimization methods and applications later in the text Numerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition presents basic treatments and more specialized literature, and it also uses algebraic languages, such as AMPL, to connect the pencil-and-paper statement of an optimization model with its solution by a software library. Offering computational practice in both financial engineering and economics fields, this book equips practitioners with the necessary techniques to measure and manage risk.

Optimization Methods in Finance

Optimization Methods in Finance Book
Author : Gerard Cornuejols,Reha Tütüncü
Publisher : Cambridge University Press
Release : 2006-12-21
ISBN : 1139460560
Language : En, Es, Fr & De

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Book Description :

Optimization models play an increasingly important role in financial decisions. This is the first textbook devoted to explaining how recent advances in optimization models, methods and software can be applied to solve problems in computational finance more efficiently and accurately. Chapters discussing the theory and efficient solution methods for all major classes of optimization problems alternate with chapters illustrating their use in modeling problems of mathematical finance. The reader is guided through topics such as volatility estimation, portfolio optimization problems and constructing an index fund, using techniques such as nonlinear optimization models, quadratic programming formulations and integer programming models respectively. The book is based on Master's courses in financial engineering and comes with worked examples, exercises and case studies. It will be welcomed by applied mathematicians, operational researchers and others who work in mathematical and computational finance and who are seeking a text for self-learning or for use with courses.

Computational Methods in Finance

Computational Methods in Finance Book
Author : Ali Hirsa
Publisher : CRC Press
Release : 2016-04-19
ISBN : 1466576049
Language : En, Es, Fr & De

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Book Description :

As today’s financial products have become more complex, quantitative analysts, financial engineers, and others in the financial industry now require robust techniques for numerical analysis. Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex functional equations through numerical methods. The first part of the book describes pricing methods for numerous derivatives under a variety of models. The book reviews common processes for modeling assets in different markets. It then examines many computational approaches for pricing derivatives. These include transform techniques, such as the fast Fourier transform, the fractional fast Fourier transform, the Fourier-cosine method, and saddlepoint method; the finite difference method for solving PDEs in the diffusion framework and PIDEs in the pure jump framework; and Monte Carlo simulation. The next part focuses on essential steps in real-world derivative pricing. The author discusses how to calibrate model parameters so that model prices are compatible with market prices. He also covers various filtering techniques and their implementations and gives examples of filtering and parameter estimation. Developed from the author’s courses at Columbia University and the Courant Institute of New York University, this self-contained text is designed for graduate students in financial engineering and mathematical finance as well as practitioners in the financial industry. It will help readers accurately price a vast array of derivatives.

Numerical Methods in Finance

Numerical Methods in Finance Book
Author : University of Cambridge. #The #Isaac Newton Institute of Mathematical Sciences (Cambridge)
Publisher : Cambridge University Press
Release : 1997-06-26
ISBN : 9780521573542
Language : En, Es, Fr & De

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Book Description :

Numerical Methods in Finance describes a wide variety of numerical methods used in financial analysis.

Numerical Methods in Finance

Numerical Methods in Finance Book
Author : Paolo Brandimarte
Publisher : John Wiley & Sons
Release : 2003-10-13
ISBN : 0471461695
Language : En, Es, Fr & De

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Book Description :

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 from both financial engineering and economicsperspectives. Classical numerical analysis methods; optimization,including less familiar topics such as stochastic and integerprogramming; simulation, including low discrepancy sequences; andpartial differential equations are covered in detail. Extensiveillustrative examples of the application of all of thesemethodologies are also provided. The text is primarily focused on MATLAB-based application, but alsoincludes descriptions of other readily available toolboxes that arerelevant to finance. Helpful appendices on the basics of MATLAB andprobability theory round out this balanced coverage. Accessible forstudents-yet still a useful reference for practitioners-NumericalMethods in Finance offers an expert introduction to powerful toolsin finance.

Numerical Methods in Finance

Numerical Methods in Finance Book
Author : Michèle Breton,Hatem Ben-Ameur
Publisher : Springer Science & Business Media
Release : 2005-12-05
ISBN : 0387251189
Language : En, Es, Fr & De

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Book Description :

GERAD celebrates this year its 25th anniversary. The Center was created in 1980 by a small group of professors and researchers of HEC Montreal, McGill University and of the Ecole Polytechnique de Montreal. GERAD's activities achieved sufficient scope to justify its conversion in June 1988 into a Joint Research Centre of HEC Montreal, the Ecole Polytechnique de Montreal and McGill University. In 1996, the U- versite du Quebec a Montreal joined these three institutions. GERAD has fifty members (professors), more than twenty research associates and post doctoral students and more than two hundreds master and Ph.D. students. GERAD is a multi-university center and a vital forum for the devel- ment of operations research. Its mission is defined around the following four complementarily objectives: • The original and expert contribution to all research fields in GERAD's area of expertise; • The dissemination of research results in the best scientific outlets as well as in the society in general; • The training of graduate students and post doctoral researchers; • The contribution to the economic community by solving important problems and providing transferable tools.

Numerical Solution of Stochastic Differential Equations

Numerical Solution of Stochastic Differential Equations Book
Author : Peter E. Kloeden,Eckhard Platen
Publisher : Springer Science & Business Media
Release : 2013-04-17
ISBN : 3662126168
Language : En, Es, Fr & De

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Book Description :

The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP

Nonlinear Optimization with Engineering Applications

Nonlinear Optimization with Engineering Applications Book
Author : Michael Bartholomew-Biggs
Publisher : Springer Science & Business Media
Release : 2008-12-16
ISBN : 0387787232
Language : En, Es, Fr & De

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Book Description :

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 exercises provided at the end of most sections. Nonlinear Optimization with Engineering Applications is ideal for self-study and classroom use in engineering courses at the senior undergraduate or graduate level. The book will also appeal to postdocs and advanced researchers interested in the development and use of optimization algorithms.

Nonlinear Optimization with Financial Applications

Nonlinear Optimization with Financial Applications Book
Author : Michael Bartholomew-Biggs
Publisher : Springer Science & Business Media
Release : 2006-07-21
ISBN : 0387241493
Language : En, Es, Fr & De

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Book Description :

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.

Applied Computational Economics and Finance

Applied Computational Economics and Finance Book
Author : Mario J. Miranda,Paul L. Fackler
Publisher : MIT Press
Release : 2004-08-20
ISBN : 0262291754
Language : En, Es, Fr & De

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Book Description :

This book presents a variety of computational methods used to solve dynamic problems in economics and finance. It emphasizes practical numerical methods rather than mathematical proofs and focuses on techniques that apply directly to economic analyses. The examples are drawn from a wide range of subspecialties of economics and finance, with particular emphasis on problems in agricultural and resource economics, macroeconomics, and finance. The book also provides an extensive Web-site library of computer utilities and demonstration programs. The book is divided into two parts. The first part develops basic numerical methods, including linear and nonlinear equation methods, complementarity methods, finite-dimensional optimization, numerical integration and differentiation, and function approximation. The second part presents methods for solving dynamic stochastic models in economics and finance, including dynamic programming, rational expectations, and arbitrage pricing models in discrete and continuous time. The book uses MATLAB to illustrate the algorithms and includes a utilities toolbox to help readers develop their own computational economics applications.

Antieigenvalue Analysis

Antieigenvalue Analysis Book
Author : Karl Gustafson,Karl E. Gustafson
Publisher : World Scientific
Release : 2012
ISBN : 9814366285
Language : En, Es, Fr & De

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Book Description :

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 theory and matrix theory, together with their applications. This book will open up its methods to a wide range of specialists.

Numerical Analysis and Optimization

Numerical Analysis and Optimization Book
Author : Mehiddin Al-Baali
Publisher : Springer Nature
Release : 2022-07-07
ISBN : 3030720403
Language : En, Es, Fr & De

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Book Description :

Download Numerical Analysis and Optimization book written by Mehiddin Al-Baali, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Numerical Methods in Economics

Numerical Methods in Economics Book
Author : Kenneth L. Judd
Publisher : MIT Press
Release : 1998-09-28
ISBN : 9780262100717
Language : En, Es, Fr & De

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Book Description :

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 I provides a general introduction. Part II presents basics from numerical analysis on R^n, including linear equations, iterative methods, optimization, nonlinear equations, approximation methods, numerical integration and differentiation, and Monte Carlo methods. Part III covers methods for dynamic problems, including finite difference methods, projection methods, and numerical dynamic programming. Part IV covers perturbation and asymptotic solution methods. Finally, Part V covers applications to dynamic equilibrium analysis, including solution methods for perfect foresight models and rational expectation models. A website contains supplementary material including programs and answers to exercises.

Mathematical Modelling and Numerical Methods in Finance

Mathematical Modelling and Numerical Methods in Finance Book
Author : Anonim
Publisher : Elsevier
Release : 2009-06-16
ISBN : 0080931006
Language : En, Es, Fr & De

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Book Description :

Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains. Coverage of all aspects of quantitative finance including models, computational methods and applications Provides an overview of new ideas and results Contributors are leaders of the field

Computational Finance

Computational Finance Book
Author : Francesco Cesarone
Publisher : Routledge
Release : 2020-06-11
ISBN : 1000168972
Language : En, Es, Fr & De

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Book Description :

Computational finance is increasingly important in the financial industry, as a necessary instrument for applying theoretical models to real-world challenges. Indeed, many models used in practice involve complex mathematical problems, for which an exact or a closed-form solution is not available. Consequently, we need to rely on computational techniques and specific numerical algorithms. This book combines theoretical concepts with practical implementation. Furthermore, the numerical solution of models is exploited, both to enhance the understanding of some mathematical and statistical notions, and to acquire sound programming skills in MATLAB®, which is useful for several other programming languages also. The material assumes the reader has a relatively limited knowledge of mathematics, probability, and statistics. Hence, the book contains a short description of the fundamental tools needed to address the two main fields of quantitative finance: portfolio selection and derivatives pricing. Both fields are developed here, with a particular emphasis on portfolio selection, where the author includes an overview of recent approaches. The book gradually takes the reader from a basic to medium level of expertise by using examples and exercises to simplify the understanding of complex models in finance, giving them the ability to place financial models in a computational setting. The book is ideal for courses focusing on quantitative finance, asset management, mathematical methods for economics and finance, investment banking, and corporate finance.

A Benchmark Approach to Quantitative Finance

A Benchmark Approach to Quantitative Finance Book
Author : Eckhard Platen,David Heath
Publisher : Springer Science & Business Media
Release : 2006-10-28
ISBN : 3540478566
Language : En, Es, Fr & De

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Book Description :

A framework for financial market modeling, the benchmark approach extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. This book presents the necessary mathematical tools, followed by a thorough introduction to financial modeling under the benchmark approach, explaining various quantitative methods for the fair pricing and hedging of derivatives.