Numerical Methods and Optimization in Finance - 2nd Edition - ISBN: 9780128150658, 9780128150665

Numerical Methods and Optimization in Finance

2nd Edition

Authors: Manfred Gilli Dietmar Maringer Enrico Schumann
eBook ISBN: 9780128150665
Paperback ISBN: 9780128150658
Imprint: Academic Press
Published Date: 1st August 2019
Page Count: 660
Sales tax will be calculated at check-out Price includes VAT/GST

Institutional Subscription

Secure Checkout

Personal information is secured with SSL technology.

Free Shipping

Free global shipping
No minimum order.


Numerical Methods and Optimization in Finance, Second Edition presents tools for computational finance, with an emphasis on optimization techniques, specifically heuristics. New chapters include a self-contained tutorial on using and implementing heuristics and an explanation of software used for testing portfolio-selection models. Every chapter has been updated and reviewed for accuracy. The book's authors concentrate on practical, computational applications of financial theory that have been turned into software and empirically tested. For every topic, they discuss implementation methods. Algorithms are stated in pseudocode, with MATLAB or R code provided for all important examples.

Key Features

  • Introduces numerical methods to readers with economics backgrounds
  • Emphasizes core simulation and optimization problems
  • Includes MATLAB and R, provides sample code in the text, and makes all code freely available


Students (Master or PhD level) and researchers in programs on quantitative and computational finance, and also practitioners in banks and other financial companies

Table of Contents

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. Modeling 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.: Heuristic Methods: A Tutorial
14. Portfolio Optimization
15. Backtesting Investment Strategies
16. Econometric Models
17. Calibrating Option Pricing Models


No. of pages:
© Academic Press 2019
Academic Press
eBook ISBN:
Paperback ISBN:

About the Author

Manfred Gilli

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.

Affiliations and Expertise

University of Geneva, Geneva School of Economics and Management (GSEM) and Swiss Finance Institute

Dietmar Maringer

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.

Affiliations and Expertise

University of Basel and University of Geneva, Switzerland

Enrico Schumann

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.

Affiliations and Expertise

VIP Value Investment Professionals AG, Switzerland

Ratings and Reviews