Financial Models Using Simulation And Optimization

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Financial Models Using Simulation And Optimization

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Author : Wayne L. Winston
language : en
Publisher:
Release Date : 2000

Financial Models Using Simulation And Optimization written by Wayne L. Winston and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Business categories.

Accompanying CD-ROM contains example files from text and trial versions of DecisionTools software.

Simulation And Optimization In Finance

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Author : Dessislava A. Pachamanova
language : en
Publisher: John Wiley & Sons
Release Date : 2010-09-23

Simulation And Optimization In Finance written by Dessislava A. Pachamanova 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 2010-09-23 with Business & Economics categories.

An introduction to the theory and practice of financial simulation and optimization In recent years, there has been a notable increase in the use of simulation and optimization methods in the financial industry. Applications include portfolio allocation, risk management, pricing, and capital budgeting under uncertainty. This accessible guide provides an introduction to the simulation and optimization techniques most widely used in finance, while at the same time offering background on the financial concepts in these applications. In addition, it clarifies difficult concepts in traditional models of uncertainty in finance, and teaches you how to build models with software. It does this by reviewing current simulation and optimization methodology-along with available software-and proceeds with portfolio risk management, modeling of random processes, pricing of financial derivatives, and real options applications. Contains a unique combination of finance theory and rigorous mathematical modeling emphasizing a hands-on approach through implementation with software Highlights not only classical applications, but also more recent developments, such as pricing of mortgage-backed securities Includes models and code in both spreadsheet-based software (@RISK, Solver, Evolver, VBA) and mathematical modeling software (MATLAB) Filled with in-depth insights and practical advice, Simulation and Optimization Modeling in Finance offers essential guidance on some of the most important topics in financial management.

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.

Financial Models Using Simulation And Optimization Ii

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Author : Wayne L. Winston
language : en
Publisher:
Release Date : 2008-05-15

Financial Models Using Simulation And Optimization Ii written by Wayne L. Winston and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-05-15 with Corporations categories.

Simulation In Computational Finance And Economics

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Author : Biliana Alexandrova-Kabadjova
language : en
Publisher:
Release Date : 2013

Simulation In Computational Finance And Economics written by Biliana Alexandrova-Kabadjova and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business & Economics categories.

Simulation has become a tool difficult to substitute in many scientific areas like manufacturing, medicine, telecommunications, games, etc. Finance is one of such areas where simulation is a commonly used tool; for example, we can find Monte Carlo simulation in many financial applications like market risk analysis, portfolio optimization, credit risk related applications, etc. Simulation in Computational Finance and Economics: Tools and Emerging Applications presents a thorough collection of works, covering several rich and highly productive areas of research including Risk Management, Agent-Based Simulation, and Payment Methods and Systems, topics that have found new motivations after the strong recession experienced in the last few years. Despite the fact that simulation is widely accepted as a prominent tool, dealing with a simulation-based project requires specific management abilities of the researchers. Economic researchers will find an excellent reference to introduce them to the computational simulation models. The works presented in this book can be used as an inspiration for economic researchers interested in creating their own computational models in their respective fields.

Introduction To Financial Models For Management And Planning

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Author : James R. Morris
language : en
Publisher: CRC Press
Release Date : 2017-05-30

Introduction To Financial Models For Management And Planning written by James R. Morris and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-05-30 with Business & Economics categories.

A properly structured financial model can provide decision makers with a powerful planning tool that helps them identify the consequences of their decisions before they are put into practice. Introduction to Financial Models for Management and Planning, Second Edition enables professionals and students to learn how to develop and use computer-based models for financial planning. This volume provides critical tools for the financial toolbox, then shows how to use them tools to build successful models.

Analyzing Financial Data And Implementing Financial Models Using R

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Author : Clifford S. Ang
language : en
Publisher: Springer Nature
Release Date : 2021-06-23

Analyzing Financial Data And Implementing Financial Models Using R written by Clifford S. Ang and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-06-23 with Business & Economics categories.

This advanced undergraduate/graduate textbook teaches students in finance and economics how to use R to analyse financial data and implement financial models. It demonstrates how to take publically available data and manipulate, implement models and generate outputs typical for particular analyses. A wide spectrum of timely and practical issues in financial modelling are covered including return and risk measurement, portfolio management, option pricing and fixed income analysis. This new edition updates and expands upon the existing material providing updated examples and new chapters on equities, simulation and trading strategies, including machine learnings techniques. Select data sets are available online.

Financial Modelling

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Author : Joerg Kienitz
language : en
Publisher: John Wiley & Sons
Release Date : 2012-09-10

Financial Modelling written by Joerg Kienitz 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 2012-09-10 with Business & Economics categories.

Financial modelling Theory, Implementation and Practice with MATLAB Source Jörg Kienitz and Daniel Wetterau Financial Modelling - Theory, Implementation and Practice with MATLAB Source is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi-) analytic and simulation techniques, and calibration even for exotic options. The book is split into three parts. The first part considers financial markets in general and looks at the complex models needed to handle observed structures, reviewing models based on diffusions including stochastic-local volatility models and (pure) jump processes. It shows the possible risk-neutral densities, implied volatility surfaces, option pricing and typical paths for a variety of models including SABR, Heston, Bates, Bates-Hull-White, Displaced-Heston, or stochastic volatility versions of Variance Gamma, respectively Normal Inverse Gaussian models and finally, multi-dimensional models. The stochastic-local-volatility Libor market model with time-dependent parameters is considered and as an application how to price and risk-manage CMS spread products is demonstrated. The second part of the book deals with numerical methods which enables the reader to use the models of the first part for pricing and risk management, covering methods based on direct integration and Fourier transforms, and detailing the implementation of the COS, CONV, Carr-Madan method or Fourier-Space-Time Stepping. This is applied to pricing of European, Bermudan and exotic options as well as the calculation of the Greeks. The Monte Carlo simulation technique is outlined and bridge sampling is discussed in a Gaussian setting and for Lévy processes. Computation of Greeks is covered using likelihood ratio methods and adjoint techniques. A chapter on state-of-the-art optimization algorithms rounds up the toolkit for applying advanced mathematical models to financial problems and the last chapter in this section of the book also serves as an introduction to model risk. The third part is devoted to the usage of Matlab, introducing the software package by describing the basic functions applied for financial engineering. The programming is approached from an object-oriented perspective with examples to propose a framework for calibration, hedging and the adjoint method for calculating Greeks in a Libor market model. Source code used for producing the results and analysing the models is provided on the author's dedicated website, http://www.mathworks.de/matlabcentral/fileexchange/authors/246981.

Modeling Simulation And Optimization Of Supply Chains

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Author : Ciro D'Apice
language : en
Publisher: SIAM
Release Date : 2010-07-01

Modeling Simulation And Optimization Of Supply Chains written by Ciro D'Apice and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-07-01 with Mathematics categories.

This book offers a state-of-the-art introduction to the mathematical theory of supply chain networks, focusing on those described by partial differential equations. The authors discuss modeling of complex supply networks as well as their mathematical theory, explore modeling, simulation, and optimization of some of the discussed models, and present analytical and numerical results on optimization problems. Real-world examples are given to demonstrate the applicability of the presented approaches. Graduate students and researchers who are interested in the theory of supply chain networks described by partial differential equations will find this book useful. It can also be used in advanced graduate-level courses on modeling of physical phenomena as well as introductory courses on supply chain theory.

Introduction To Financial Models For Management And Planning

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Author : James R. Morris
language : en
Publisher: CRC Press
Release Date : 2009-04-14

Introduction To Financial Models For Management And Planning written by James R. Morris and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-04-14 with Business & Economics categories.

A properly structured financial model can provide decision makers with a powerful planning tool that helps them identify the consequences of their decisions before they are put into practice. Introduction to Financial Models for Management and Planning enables professionals and students to learn how to develop and use computer-based models for financial planning. Providing critical tools for the financial toolbox, this volume shows how to use these tools to build successful models. Placing a strong emphasis on the structure of models, the book focuses on developing models that are consistent with the theory of finance and, at the same time, are practical and usable. The authors introduce powerful tools that are imperative to the financial management of the operating business. These include interactive cash budgets and pro forma financial statements that balance even under the most extreme assumptions, valuation techniques, forecasting techniques that range from simple averages to time series methods, Monte Carlo simulation, linear programming, and optimization. The tools of financial modeling can be used to solve the problems of planning the firm’s investment and financing decisions. These include evaluating capital projects, planning the financing mix for new investments, capital budgeting under capital constraints, optimal capital structure, cash budgeting, working capital management, mergers and acquisitions, and constructing efficient security portfolios. While the primary emphasis is on models related to corporate financial management, the book also introduces readers to a variety of models related to security markets, stock and bond investments, portfolio management, and options. This authoritative book supplies broad-based coverage and free access to @Risk software for Monte Carlo simulation, making it an indispensible text for professionals and students in financial management. Please contact customer service for access to the software if your copy of the book does not contain this information.