Numerical Methods and Optimization in Finance 2nd edition Manfred Gilli 0128150661 9780128150665
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Product details:
- ISBN 10: 0128150661
- ISBN 13: 9780128150665
- Author: Manfred Gilli
Computationally-intensive tools play an increasingly important role in financial decisions. Many financial problems—ranging from asset allocation to risk management and from option pricing to model calibration—can be efficiently handled using modern computational techniques. Numerical Methods and Optimization in Finance presents such computational techniques, with an emphasis on simulation and optimization, particularly so-called heuristics. This book treats quantitative analysis as an essentially computational discipline in which applications are put into software form and tested empirically.
This revised edition includes two new chapters, a self-contained tutorial on implementing and using heuristics, and an explanation of software used for testing portfolio-selection models. Postgraduate students, researchers in programs on quantitative and computational finance, and practitioners in banks and other financial companies can benefit from this second edition of Numerical Methods and Optimization in Finance.
Table of contents:
Chapter 1: Introduction
Chapter 2: Numerical analysis in a nutshell
Chapter 3: Linear equations and Least Squares problems
Chapter 4: Finite difference methods
Chapter 5: Binomial trees
Part II: Simulation
Chapter 6: Generating random numbers
Chapter 7: Modeling dependencies
Chapter 8: A gentle introduction to financial simulation
Chapter 9: Financial simulation at work: some case studies
Part III: Optimization
Chapter 10: Optimization problems in finance
Chapter 11: Basic methods
Chapter 12: Heuristic methods in a nutshell
Chapter 13: Heuristics: a tutorial
Chapter 14: Portfolio optimization
Chapter 15: Backtesting
Chapter 16: Econometric models
Chapter 17: Calibrating option pricing models
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