Numerical Methods and Optimization in Finance

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 backgroundsEmphasizes core simulation and optimization problemsIncludes MATLAB and R, provides sample code in the text, and makes all code freely available INDICE: 1. Introduction I. Fundamentals 2. Numerical Analysis in a Nutshell 3. Linear Equations and Least Squares Problems 4. Finite Difference Methods 5. Binomial Trees II. Simulation 6. Generating Random Numbers 7. Modeling Dependencies 8. A Gentle Introduction to Financial Simulation 9. Financial Simulation at Work: Some Case Studies III. 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

• ISBN: 978-0-12-815065-8
• Editorial: Academic Press
• Encuadernacion: Rústica
• Páginas: 660
• Fecha Publicación: 01/08/2019
• Nº Volúmenes: 1
• Idioma: Inglés