Numerical Methods and Optimization in Finance

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9780123756626: Numerical Methods and Optimization in Finance

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

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About the Author:

Manfred Gilli is Professor emeritus at the Department of Econometrics (now Economics) at the University of Geneva, Switzerland, where he taught numerical methods in economics and finance. His main research interests include numerical solution of large and sparse systems of equations, parallel computing, heuristic optimization techniques and numerical methods for pricing financial instruments. He is a member of the Advisory Board of the Computational Statistics and Data Analysis and a member of the editorial boards of Computational Economics and the Springer book series on Advances in Computational Economics and Advances in Computational Management Science. He also is a past president of the Society for Computational Economics.

Dietmar Maringer is Professor of Computational Economics and Finance at the University of Basel and University of Geneva, Switzerland. His research interests include heuristic optimization, computational and financial econometrics, high frequency trading and algo trading, and computational finance.

Enrico Schumann holds a Ph.D. in econometrics, an MSC in economics, and a BA in economics and law. He has written on accuracy and precision in finance, optimization cultures, and heuristics for portfolio selections, among other subjects.

Review:

"This book aims at providing guidance which is practical and useful for practitioners in finance with emphasis on computational techniques which are manageable by modern day desktop personal computers’ processing power when building, testing, comparing and using mathematical and econometric models of finance in the pursuit of analysis of actual financial market data in day to day activities of financial analysts, be they students of courses in finance programs or analysts in financial institutions."--Zentralblatt MATH 2012-1236-91001 "With as much rigor as can be mastered by anyone in the still-developing field of computational finance and a sense of humor, the authors unravel its mysteries. The presentations are clear and the models are practical --- these are the two ingredients that make for a valuable book in this field. The book is both practical in scope and rigorous on its theoretical foundations. It  is a must for anyone who needs to apply quantitative methods for financial planning --- and who doesn’t need to in our days?"--Stavros A. Zenios, University of Cyprus and the Wharton Financial Institutions Center "Numerical Methods and Optimization in Finance is an excellent introduction to computational science. The combination of methodology, software, and examples allows the reader to quickly grasp and apply serious computational ideas."--Kenneth L. Judd, Hoover Institution, Stanford University

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Gilli, Manfred; Maringer, Dietmar; Schumann, Enrico
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Book Description Academic Press, 2011. Soft cover. Book Condition: New. Dust Jacket Condition: New. 1st Edition. **INTERNATIONAL EDITION** Read carefully before purchase: This book is the international edition in mint condition with the different ISBN and book cover design, the major content is printed in full English as same as the original North American edition. The book printed in black and white, generally send in twenty-four hours after the order confirmed. All shipments go through via USPS/UPS/DHL with tracking numbers. Great professional textbook selling experience and expedite shipping service. Bookseller Inventory # ABE-10731495282

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Book Description Elsevier Science Publishing Co Inc, United States, 2011. Hardback. Book Condition: New. Language: English . This book usually ship within 10-15 business days and we will endeavor to dispatch orders quicker than this where possible. Brand New Book. 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. Bookseller Inventory # EOD9780123756626

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Book Description Elsevier Science Publishing Co Inc, United States, 2011. Hardback. Book Condition: New. Language: English . Brand New Book. 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. Bookseller Inventory # AAU9780123756626

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Book Description Elsevier Science Publishing Co Inc. Hardback. Book Condition: new. BRAND NEW, Numerical Methods and Optimization in Finance, Manfred Gilli, Dietmar Maringer, Enrico Schumann, 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. This title shows ways to build and implement tools that help test ideas; focuses on the application of heuristics; standard methods receive limited attention; and, presents as separate chapters problems from portfolio optimization, estimation of econometric models, and calibration of option pricing models. Bookseller Inventory # B9780123756626

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Book Description Elsevier Science Publishing Co Inc, United States, 2011. Hardback. Book Condition: New. Language: English . Brand New Book. 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. Bookseller Inventory # AAU9780123756626

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Book Description Elsevier Science Publishing Co Inc, 2011. Book Condition: New. 2011. 1st Edition. Hardcover. Describes computational finance tools. This title covers fundamental numerical analysis and computational techniques, such as option pricing, and gives special attention to simulation and optimization. It shows ways to build and implement tools that help test ideas. It focuses on the application of heuristics. Num Pages: 600 pages, illustrations. BIC Classification: KFF; PBU. Category: (P) Professional & Vocational. Dimension: 237 x 163 x 26. Weight in Grams: 1008. . . . . . . Bookseller Inventory # V9780123756626

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Book Description Elsevier Science Publishing Co Inc. Book Condition: New. 2011. 1st Edition. Hardcover. Describes computational finance tools. This title covers fundamental numerical analysis and computational techniques, such as option pricing, and gives special attention to simulation and optimization. It shows ways to build and implement tools that help test ideas. It focuses on the application of heuristics. Num Pages: 600 pages, illustrations. BIC Classification: KFF; PBU. Category: (P) Professional & Vocational. Dimension: 237 x 163 x 26. Weight in Grams: 1008. . . . . . Books ship from the US and Ireland. Bookseller Inventory # V9780123756626

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