Computational Methods For Risk Management In Economics And Finance
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Computational Methods For Risk Management In Economics And Finance
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Author : Marina Resta
language : en
Publisher: MDPI
Release Date : 2020-04-02
Computational Methods For Risk Management In Economics And Finance written by Marina Resta and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-04-02 with Business & Economics categories.
At present, computational methods have received considerable attention in economics and finance as an alternative to conventional analytical and numerical paradigms. This Special Issue brings together both theoretical and application-oriented contributions, with a focus on the use of computational techniques in finance and economics. Examined topics span on issues at the center of the literature debate, with an eye not only on technical and theoretical aspects but also very practical cases.
Computational Methods For Risk Management In Economics And Finance
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Author : Marina Resta
language : en
Publisher:
Release Date : 2020
Computational Methods For Risk Management In Economics And Finance written by Marina Resta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with Finance categories.
At present, computational methods have received considerable attention in economics and finance as an alternative to conventional analytical and numerical paradigms. This Special Issue brings together both theoretical and application-oriented contributions, with a focus on the use of computational techniques in finance and economics. Examined topics span on issues at the center of the literature debate, with an eye not only on technical and theoretical aspects but also very practical cases.
Numerical Methods And Optimization In Finance
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Author : Manfred Gilli
language : en
Publisher: Academic Press
Release Date : 2019-08-16
Numerical Methods And Optimization In Finance written by Manfred Gilli and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-08-16 with Business & Economics categories.
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.
Computational Methods In Decision Making Economics And Finance
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Author : Erricos John Kontoghiorghes
language : en
Publisher: Springer Science & Business Media
Release Date : 2002-08-31
Computational Methods In Decision Making Economics And Finance written by Erricos John Kontoghiorghes and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-08-31 with Business & Economics categories.
Computing has become essential for the modeling, analysis, and optimization of systems. This book is devoted to algorithms, computational analysis, and decision models. The chapters are organized in two parts: optimization models of decisions and models of pricing and equilibria. Optimization is at the core of rational decision making. Even when the decision maker has more than one goal or there is significant uncertainty in the system, optimization provides a rational framework for efficient decisions. The Markowitz mean-variance formulation is a classical example. The first part of the book is on recent developments in optimization decision models for finance and economics. The first four chapters of this part focus directly on multi-stage problems in finance. Chapters 5-8 involve the use of worst-case robust analysis. Chapters 9-11 are devoted to portfolio optimization. The final four chapters are on transportation-inventory with stochastic demand; optimal investment with CRRA utility; hedging financial contracts; and, automatic differentiation for computational finance. The uncertainty associated with prediction and modeling constantly requires the development of improved methods and models. Similarly, as systems strive towards equilibria, the characterization and computation of equilibria assists analysis and prediction. The second part of the book is devoted to recent research in computational tools and models of equilibria, prediction, and pricing. The first three chapters of this part consider hedging issues in finance. Chapters 19-22 consider prediction and modeling methodologies. Chapters 23-26 focus on auctions and equilibria. Volatility models are investigated in chapters 27-28. The final two chapters investigate risk assessment and product pricing. Audience: Researchers working in computational issues related to economics, finance, and management science.
International Conference Of Computational Methods In Sciences And Engineering Iccmse 2004
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Author : Theodore Simos
language : en
Publisher: CRC Press
Release Date : 2019-04-29
International Conference Of Computational Methods In Sciences And Engineering Iccmse 2004 written by Theodore Simos and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-04-29 with Computers categories.
The International Conference of Computational Methods in Sciences and Engineering (ICCMSE) is unique in its kind. It regroups original contributions from all fields of the traditional Sciences, Mathematics, Physics, Chemistry, Biology, Medicine and all branches of Engineering. The aim of the conference is to bring together computational scientists from several disciplines in order to share methods and ideas. More than 370 extended abstracts have been submitted for consideration for presentation in ICCMSE 2004. From these, 289 extended abstracts have been selected after international peer review by at least two independent reviewers.
Numerical Methods And Optimization In Finance
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Author : Manfred Gilli
language : en
Publisher: Academic Press
Release Date : 2019-08-16
Numerical Methods And Optimization In Finance written by Manfred Gilli and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-08-16 with Business & Economics categories.
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
Risk And Financial Management
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Author : Charles S. Tapiero
language : en
Publisher: John Wiley & Sons
Release Date : 2004-07-16
Risk And Financial Management written by Charles S. Tapiero and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-07-16 with Mathematics categories.
Financial risk management has become a popular practice amongst financial institutions to protect against the adverse effects of uncertainty caused by fluctuations in interest rates, exchange rates, commodity prices, and equity prices. New financial instruments and mathematical techniques are continuously developed and introduced in financial practice. These techniques are being used by an increasing number of firms, traders and financial risk managers across various industries. Risk and Financial Management: Mathematical and Computational Methods confronts the many issues and controversies, and explains the fundamental concepts that underpin financial risk management. Provides a comprehensive introduction to the core topics of risk and financial management. Adopts a pragmatic approach, focused on computational, rather than just theoretical, methods. Bridges the gap between theory and practice in financial risk management Includes coverage of utility theory, probability, options and derivatives, stochastic volatility and value at risk. Suitable for students of risk, mathematical finance, and financial risk management, and finance practitioners. Includes extensive reference lists, applications and suggestions for further reading. Risk and Financial Management: Mathematical and Computational Methods is ideally suited to both students of mathematical finance with little background in economics and finance, and students of financial risk management, as well as finance practitioners requiring a clearer understanding of the mathematical and computational methods they use every day. It combines the required level of rigor, to support the theoretical developments, with a practical flavour through many examples and applications.
Handbook Of Computational And Numerical Methods In Finance
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Author : Svetlozar T. Rachev
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-06-28
Handbook Of Computational And Numerical Methods In Finance written by Svetlozar T. Rachev and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-28 with Mathematics categories.
Numerical Methods in Finance have recently emerged as a new discipline at the intersection of probability theory, finance and numerical analysis. They bridge the gap between financial theory and computational practice and provide solutions to problems where analytical methods are often non-applicable. Numerical methods are more and more used in several topics of financial analy sis: computation of complex derivatives; market, credit and operational risk assess ment, asset liability management, optimal portfolio theory, financial econometrics and others. Although numerical methods in finance have been studied intensively in recent years, many theoretical and practical financial aspects have yet to be explored. This volume presents current research focusing on various numerical methods in finance. The contributions cover methodological issues. Genetic Algorithms, Neural Net works, Monte-Carlo methods, Finite Difference Methods, Stochastic Portfolio Opti mization as well as the application of other numerical methods in finance and risk management. As editor, I am grateful to the contributors for their fruitful collaboration. I would particularly like to thankStefan Trueck and Carlo Marinelli for the excellent editorial assistance received over the progress of this project. Thomas Plum did a splendid word-processingjob in preparing the manuscript. lowe much to George Anastassiou (ConsultantEditor, Birkhauser) and Ann Kostant Executive Editor, Mathematics and Physics, Birkhauser for their help and encouragement.
Numerical Methods In Finance And Economics
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Author : Paolo Brandimarte
language : en
Publisher: John Wiley & Sons
Release Date : 2013-06-06
Numerical Methods In Finance And Economics written by Paolo Brandimarte and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-06 with Mathematics categories.
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.
Computational Methods In Economic Dynamics
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Author : Herbert Dawid
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-03-23
Computational Methods In Economic Dynamics written by Herbert Dawid and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-23 with Business & Economics categories.
This volume is centered around the issue of market design and resulting market dynamics. The economic crisis of 2007-2009 has once again highlighted the importance of a proper design of market protocols and institutional details for economic dynamics and macroeconomics. Papers in this volume capture institutional details of particular markets, behavioral details of agents' decision making as well as spillovers between markets and effects to the macroeconomy. Computational methods are used to replicate and understand market dynamics emerging from interaction of heterogeneous agents, and to develop models that have predictive power for complex market dynamics. Finally treatments of overlapping generations models and differential games with heterogeneous actors are provided.