
Numerical Methods and Optimization in Finance
Description
Key Features
- 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
Readership
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 TreesII. Simulation
6. Generating Random Numbers
7. Modeling Dependencies
8. A Gentle Introduction to Financial Simulation
9. Financial Simulation at Work: Some Case StudiesIII. 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
Product details
- No. of pages: 638
- Language: English
- Copyright: © Academic Press 2019
- Published: August 16, 2019
- Imprint: Academic Press
- eBook ISBN: 9780128150665
- Paperback ISBN: 9780128150658
About the Authors
Manfred Gilli
Affiliations and Expertise
Dietmar Maringer
Affiliations and Expertise
Enrico Schumann
Affiliations and Expertise
Ratings and Reviews
There are currently no reviews for "Numerical Methods and Optimization in Finance"