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.
- 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
2. Numerical Analysis in a Nutshell
3. Linear Equations and Least Squares Problems
4. Finite Difference Methods
5. Binomial Trees
6. Generating Random Numbers
7. Modeling Dependencies
8. A Gentle Introduction to Financial Simulation
9. Financial Simulation at Work: Some Case Studies
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
- 1st August 2019
- Academic Press
- eBook ISBN:
- Paperback ISBN:
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.
University of Geneva, Geneva School of Economics and Management (GSEM) and Swiss Finance Institute
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.
University of Basel and University of Geneva, Switzerland
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.
VIP Value Investment Professionals AG, Switzerland