Numerical Methods and Optimization in Finance

Erscheinungsjahr 2011
ISBN: 978-0-12-375662-6
Verlag: ACADEMIC PR INC

Buch, Englisch, 600 Seiten, Format (B × H): 159 mm x 234 mm, Gewicht: 926 g

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.

Zielgruppe

Graduate students studying quantitative or computational finance, as well as finance professionals, especially in banking and insurance

Autoren/Hrsg.

Gilli, Manfred

Maringer, Dietmar

Schumann, Enrico

Fachgebiete

• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Numerische Mathematik

Inhaltsverzeichnis

1. Introduction

I. Fundamentals

2. Numerical Analysis in a Nutshell

3. Linear Equations and Least-Squares Problems

4. Finite Difference Methods

5. Binomial Trees

II Simulation

6. Generating Random Numbers

7. Modelling Dependencies

8. A Gentle Introduction to Financial Simulation

9. Financial Simulation at Work: Some Case Studies

III Optimization

10. Optimization Problems in Finance

11. Basic Methods

12. Heuristic Methods in a Nutshell

13. Portfolio Optimization

14. Econometric Models

15. Calibrating Option Pricing Models

Über Autor(innen)

Gilli, Manfred
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.

Maringer, Dietmar
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.

Schumann, Enrico
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.

By Manfred Gilli, University of Geneva, Switzerland; and Swiss Finance Institute; Dietmar Maringer, University of Basel and University of Geneva, Switzerland and Enrico Schumann, VIP Value Investment Professionals AG, Switzerland