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Numerical methods and optimization i...

Gilli, Manfred, (1942-)

Numerical methods and optimization in finance

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Numerical methods and optimization in financeManfred Gilli, Dietmar Maringer, Enrico Schumann.
作者:	Gilli, Manfred,
其他作者:	Maringer, Dietmar.
出版者:	Waltham :Academic Press,2011.
面頁冊數:	1 online resource (xv, 584 p.)
標題:	Financial engineering.
電子資源:	http://www.sciencedirect.com/science/book/9780123756626
ISBN:	9780123756626 (electronic bk.)

Numerical methods and optimization in finance
Gilli, Manfred,1942-

Numerical methods and optimization in finance[electronic resource] /Manfred Gilli, Dietmar Maringer, Enrico Schumann. - Waltham :Academic Press,2011. - 1 online resource (xv, 584 p.)

Includes bibliographical references and index.

Fundamentals -- Simulation -- Optimization.

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.

ISBN: 9780123756626 (electronic bk.)

Source: CL0500000143Safari Books OnlineSubjects--Topical Terms:

186184
Financial engineering.
Index Terms--Genre/Form:

536519
Electronic resource.

LC Class. No.: HG176.7 / .G55 2011

Dewey Class. No.: 624.068/1

Numerical methods and optimization in finance
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