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Numerical methods and optimization in finance /

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 probl...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Gilli, Manfred, 1942-
Otros Autores: Maringer, Dietmar, Schumann, Enrico
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Waltham : Academic Press, 2011.
Temas:
Acceso en línea:Texto completo

MARC

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100 1 |a Gilli, Manfred,  |d 1942- 
245 1 0 |a Numerical methods and optimization in finance /  |c Manfred Gilli, Dietmar Maringer, Enrico Schumann. 
260 |a Waltham :  |b Academic Press,  |c 2011. 
300 |a 1 online resource (xv, 584 pages) 
336 |a text  |b txt  |2 rdacontent 
337 |a computer  |b c  |2 rdamedia 
338 |a online resource  |b cr  |2 rdacarrier 
520 |a 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. 
505 0 |a Fundamentals -- Simulation -- Optimization. 
504 |a Includes bibliographical references and index. 
650 0 |a Financial engineering. 
650 6 |a Ing�enierie financi�ere.  |0 (CaQQLa)201-0226913 
650 7 |a Financial engineering  |2 fast  |0 (OCoLC)fst00924623 
655 4 |a Electronic resource. 
700 1 |a Maringer, Dietmar. 
700 1 |a Schumann, Enrico. 
776 0 8 |i Print version:  |a Gilli, Manfred, 1942-  |t Numerical methods and optimization in finance.  |d Amsterdam ; Boston : Elsevier/Academic Press, 2011  |z 9780123756626  |w (DLC) 2011284531  |w (OCoLC)749902408 
856 4 0 |u https://sciencedirect.uam.elogim.com/science/book/9780123756626  |z Texto completo