Numerical Methods And Optimization In Finance

Author : Manfred Gilli,Dietmar Maringer,Enrico Schumann
Publisher : Academic Press
Page : 638 pages
File Size : 54,6 Mb
Release : 2019-08-30
Category : Electronic
ISBN : 9780128150658

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Numerical Methods and Optimization in Finance by Manfred Gilli,Dietmar Maringer,Enrico Schumann Pdf

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. 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

Author : Manfred Gilli,Dietmar Maringer,Enrico Schumann
Publisher : Academic Press
Page : 640 pages
File Size : 40,6 Mb
Release : 2019-08-16
Category : Business & Economics
ISBN : 9780128150665

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Numerical Methods and Optimization in Finance by Manfred Gilli,Dietmar Maringer,Enrico Schumann Pdf

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. 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

Author : Manfred Gilli,Dietmar Maringer,Enrico Schumann
Publisher : Academic Press
Page : 600 pages
File Size : 48,9 Mb
Release : 2011-06-30
Category : Mathematics
ISBN : 9780123756633

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Numerical Methods and Optimization in Finance by Manfred Gilli,Dietmar Maringer,Enrico Schumann Pdf

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

Author : Paolo Brandimarte
Publisher : John Wiley & Sons
Page : 501 pages
File Size : 54,7 Mb
Release : 2013-06-06
Category : Mathematics
ISBN : 9781118625576

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Numerical Methods in Finance and Economics by Paolo Brandimarte Pdf

A state-of-the-art introduction to the powerful mathematical and statistical tools used in the field of finance The use of mathematical models and numerical techniques is a practice employed by a growing number of applied mathematicians working on applications in finance. Reflecting this development, Numerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition bridges the gap between financial theory and computational practice while showing readers how to utilize MATLAB?--the powerful numerical computing environment--for financial applications. The author provides an essential foundation in finance and numerical analysis in addition to background material for students from both engineering and economics perspectives. A wide range of topics is covered, including standard numerical analysis methods, Monte Carlo methods to simulate systems affected by significant uncertainty, and optimization methods to find an optimal set of decisions. Among this book's most outstanding features is the integration of MATLAB?, which helps students and practitioners solve relevant problems in finance, such as portfolio management and derivatives pricing. This tutorial is useful in connecting theory with practice in the application of classical numerical methods and advanced methods, while illustrating underlying algorithmic concepts in concrete terms. Newly featured in the Second Edition: * In-depth treatment of Monte Carlo methods with due attention paid to variance reduction strategies * New appendix on AMPL in order to better illustrate the optimization models in Chapters 11 and 12 * New chapter on binomial and trinomial lattices * Additional treatment of partial differential equations with two space dimensions * Expanded treatment within the chapter on financial theory to provide a more thorough background for engineers not familiar with finance * New coverage of advanced optimization methods and applications later in the text Numerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition presents basic treatments and more specialized literature, and it also uses algebraic languages, such as AMPL, to connect the pencil-and-paper statement of an optimization model with its solution by a software library. Offering computational practice in both financial engineering and economics fields, this book equips practitioners with the necessary techniques to measure and manage risk.

Author : L. C. G. Rogers,D. Talay
Publisher : Cambridge University Press
Page : 348 pages
File Size : 52,7 Mb
Release : 1997-06-26
Category : Business & Economics
ISBN : 0521573548

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Numerical Methods in Finance by L. C. G. Rogers,D. Talay Pdf

Numerical Methods in Finance describes a wide variety of numerical methods used in financial analysis.

Author : Michèle Breton,Hatem Ben-Ameur
Publisher : Springer Science & Business Media
Page : 282 pages
File Size : 55,8 Mb
Release : 2005-05-06
Category : Business & Economics
ISBN : 0387251170

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Numerical Methods in Finance by Michèle Breton,Hatem Ben-Ameur Pdf

GERAD celebrates this year its 25th anniversary. The Center was created in 1980 by a small group of professors and researchers of HEC Montreal, McGill University and of the Ecole Polytechnique de Montreal. GERAD's activities achieved sufficient scope to justify its conversion in June 1988 into a Joint Research Centre of HEC Montreal, the Ecole Polytechnique de Montreal and McGill University. In 1996, the U- versite du Quebec a Montreal joined these three institutions. GERAD has fifty members (professors), more than twenty research associates and post doctoral students and more than two hundreds master and Ph.D. students. GERAD is a multi-university center and a vital forum for the devel- ment of operations research. Its mission is defined around the following four complementarily objectives: • The original and expert contribution to all research fields in GERAD's area of expertise; • The dissemination of research results in the best scientific outlets as well as in the society in general; • The training of graduate students and post doctoral researchers; • The contribution to the economic community by solving important problems and providing transferable tools.

Author : Gerard Cornuejols,Reha Tütüncü
Publisher : Cambridge University Press
Page : 358 pages
File Size : 51,5 Mb
Release : 2006-12-21
Category : Mathematics
ISBN : 0521861705

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Optimization Methods in Finance by Gerard Cornuejols,Reha Tütüncü Pdf

Optimization models play an increasingly important role in financial decisions. This is the first textbook devoted to explaining how recent advances in optimization models, methods and software can be applied to solve problems in computational finance more efficiently and accurately. Chapters discussing the theory and efficient solution methods for all major classes of optimization problems alternate with chapters illustrating their use in modeling problems of mathematical finance. The reader is guided through topics such as volatility estimation, portfolio optimization problems and constructing an index fund, using techniques such as nonlinear optimization models, quadratic programming formulations and integer programming models respectively. The book is based on Master's courses in financial engineering and comes with worked examples, exercises and case studies. It will be welcomed by applied mathematicians, operational researchers and others who work in mathematical and computational finance and who are seeking a text for self-learning or for use with courses.

Author : Peter E. Kloeden,Eckhard Platen
Publisher : Springer Science & Business Media
Page : 666 pages
File Size : 49,5 Mb
Release : 2013-04-17
Category : Mathematics
ISBN : 9783662126165

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Numerical Solution of Stochastic Differential Equations by Peter E. Kloeden,Eckhard Platen Pdf

The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP

Author : Mehiddin Al-Baali,Anton Purnama,Lucio Grandinetti
Publisher : Springer Nature
Page : 307 pages
File Size : 52,8 Mb
Release : 2021-12-01
Category : Mathematics
ISBN : 9783030720407

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Numerical Analysis and Optimization by Mehiddin Al-Baali,Anton Purnama,Lucio Grandinetti Pdf

This book gathers selected, peer-reviewed contributions presented at the Fifth International Conference on Numerical Analysis and Optimization (NAO-V), which was held at Sultan Qaboos University, Oman, on January 6-9, 2020. Each chapter reports on developments in key fields, such as numerical analysis, numerical optimization, numerical linear algebra, numerical differential equations, optimal control, approximation theory, applied mathematics, derivative-free optimization methods, programming models, and challenging applications that frequently arise in statistics, econometrics, finance, physics, medicine, biology, engineering and industry. Many real-world, complex problems can be formulated as optimization tasks, and can be characterized further as large scale, unconstrained, constrained, non-convex, nondifferentiable or discontinuous, and therefore require adequate computational methods, algorithms and software tools. These same tools are often employed by researchers working in current IT hot topics, such as big data, optimization and other complex numerical algorithms in the cloud, devising special techniques for supercomputing systems. This interdisciplinary view permeates the work included in this volume. The NAO conference series is held every three years at Sultan Qaboos University, with the aim of bringing together a group of international experts and presenting novel and advanced applications to facilitate interdisciplinary studies among pure scientific and applied knowledge. It is a venue where prominent scientists gather to share innovative ideas and know-how relating to new scientific methodologies, to promote scientific exchange, to discuss possible future cooperations, and to promote the mobility of local and young researchers.

Author : Michael Bartholomew-Biggs
Publisher : Springer Science & Business Media
Page : 276 pages
File Size : 40,5 Mb
Release : 2006-07-21
Category : Mathematics
ISBN : 9780387241494

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Nonlinear Optimization with Financial Applications by Michael Bartholomew-Biggs Pdf

This instructive book introduces the key ideas behind practical nonlinear optimization, accompanied by computational examples and supporting software. It combines computational finance with an important class of numerical techniques.

Author : Michael Bartholomew-Biggs
Publisher : Springer Science & Business Media
Page : 296 pages
File Size : 41,5 Mb
Release : 2008-12-16
Category : Mathematics
ISBN : 9780387787237

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Nonlinear Optimization with Engineering Applications by Michael Bartholomew-Biggs Pdf

This textbook examines a broad range of problems in science and engineering, describing key numerical methods applied to real life. The case studies presented are in such areas as data fitting, vehicle route planning and optimal control, scheduling and resource allocation, sensitivity calculations and worst-case analysis. Chapters are self-contained with exercises provided at the end of most sections. Nonlinear Optimization with Engineering Applications is ideal for self-study and classroom use in engineering courses at the senior undergraduate or graduate level. The book will also appeal to postdocs and advanced researchers interested in the development and use of optimization algorithms.

Author : Rüdiger U. Seydel
Publisher : Springer Science & Business Media
Page : 429 pages
File Size : 46,9 Mb
Release : 2012-03-09
Category : Mathematics
ISBN : 9781447129936

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Tools for Computational Finance by Rüdiger U. Seydel Pdf

The disciplines of financial engineering and numerical computation differ greatly, however computational methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering; specifically the use of numerical methods as tools for computational finance. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to the entire field of computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the remainder of the book goes on to detail computational methods using both stochastic and deterministic approaches. Now in its fifth edition, Tools for Computational Finance has been significantly revised and contains: A new chapter on incomplete markets which links to new appendices on Viscosity solutions and the Dupire equation; Several new parts throughout the book such as that on the calculation of sensitivities (Sect. 3.7) and the introduction of penalty methods and their application to a two-factor model (Sect. 6.7) Additional material in the field of analytical methods including Kim’s integral representation and its computation Guidelines for comparing algorithms and judging their efficiency An extended chapter on finite elements that now includes a discussion of two-asset options Additional exercises, figures and references Written from the perspective of an applied mathematician, methods are introduced as tools within the book for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book enabling readers to explore several areas of the financial world. Interdisciplinary in nature, this book will appeal to advanced undergraduate students in mathematics, engineering and other scientific disciplines as well as professionals in financial engineering.

Author : Francesco Cesarone
Publisher : Routledge
Page : 284 pages
File Size : 52,9 Mb
Release : 2020-06-11
Category : Business & Economics
ISBN : 9781000169034

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Computational Finance by Francesco Cesarone Pdf

Computational finance is increasingly important in the financial industry, as a necessary instrument for applying theoretical models to real-world challenges. Indeed, many models used in practice involve complex mathematical problems, for which an exact or a closed-form solution is not available. Consequently, we need to rely on computational techniques and specific numerical algorithms. This book combines theoretical concepts with practical implementation. Furthermore, the numerical solution of models is exploited, both to enhance the understanding of some mathematical and statistical notions, and to acquire sound programming skills in MATLAB®, which is useful for several other programming languages also. The material assumes the reader has a relatively limited knowledge of mathematics, probability, and statistics. Hence, the book contains a short description of the fundamental tools needed to address the two main fields of quantitative finance: portfolio selection and derivatives pricing. Both fields are developed here, with a particular emphasis on portfolio selection, where the author includes an overview of recent approaches. The book gradually takes the reader from a basic to medium level of expertise by using examples and exercises to simplify the understanding of complex models in finance, giving them the ability to place financial models in a computational setting. The book is ideal for courses focusing on quantitative finance, asset management, mathematical methods for economics and finance, investment banking, and corporate finance.

Author : Philip E. Gill,P. E. Gill,William Allan Murray,Institute of Mathematics and Its Applications,National Physical Laboratory (Great Britain)
Publisher : Unknown
Page : 312 pages
File Size : 51,5 Mb
Release : 1974
Category : Mathematics
ISBN : UOM:39015017289094

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Numerical Methods for Constrained Optimization by Philip E. Gill,P. E. Gill,William Allan Murray,Institute of Mathematics and Its Applications,National Physical Laboratory (Great Britain) Pdf

Author : Karl Gustafson,Karl E. Gustafson
Publisher : World Scientific
Page : 259 pages
File Size : 50,8 Mb
Release : 2012
Category : Mathematics
ISBN : 9789814366281

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Antieigenvalue Analysis by Karl Gustafson,Karl E. Gustafson Pdf

Karl Gustafson is the creater of the theory of antieigenvalue analysis. Its applications spread through fields as diverse as numerical analysis, wavelets, statistics, quantum mechanics, and finance. Antieigenvalue analysis, with its operator trigonometry, is a unifying language which enables new and deeper geometrical understanding of essentially every result in operator theory and matrix theory, together with their applications. This book will open up its methods to a wide range of specialists.