Simulation And Optimization In Finance
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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.
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.
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.
Numerical Methods And Optimization In Finance
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Author : Manfred Gilli
language : en
Publisher: Academic Press
Release Date : 2019-08-30
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 2019-08-30 with 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
Financial Models Using Simulation And Optimization Ii
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Author : Wayne L. Winston
language : en
Publisher:
Release Date : 2001
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 2001 with Business & Economics categories.
Simulation In Computational Finance And Economics Tools And Emerging Applications
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Author : Alexandrova-Kabadjova, Biliana
language : en
Publisher: IGI Global
Release Date : 2012-08-31
Simulation In Computational Finance And Economics Tools And Emerging Applications written by Alexandrova-Kabadjova, Biliana and has been published by IGI Global this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-31 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.
Handbook Of Simulation Optimization
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Author : Michael C Fu
language : en
Publisher: Springer
Release Date : 2014-11-13
Handbook Of Simulation Optimization written by Michael C Fu and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-13 with Business & Economics categories.
The Handbook of Simulation Optimization presents an overview of the state of the art of simulation optimization, providing a survey of the most well-established approaches for optimizing stochastic simulation models and a sampling of recent research advances in theory and methodology. Leading contributors cover such topics as discrete optimization via simulation, ranking and selection, efficient simulation budget allocation, random search methods, response surface methodology, stochastic gradient estimation, stochastic approximation, sample average approximation, stochastic constraints, variance reduction techniques, model-based stochastic search methods and Markov decision processes. This single volume should serve as a reference for those already in the field and as a means for those new to the field for understanding and applying the main approaches. The intended audience includes researchers, practitioners and graduate students in the business/engineering fields of operations research, management science, operations management and stochastic control, as well as in economics/finance and computer science.
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 categories.
Handbook In Monte Carlo Simulation
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Author : Paolo Brandimarte
language : en
Publisher: John Wiley & Sons
Release Date : 2014-06-17
Handbook In Monte Carlo Simulation 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 2014-06-17 with Business & Economics categories.
An accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economics Providing readers with an in-depth and comprehensive guide, the Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in financial engineering and economics. Written by an international leading expert in thefield, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applicationsof Monte Carlo techniques to answer these issues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysisand variance reduction; and applications ranging from option pricing and risk management to optimization. The Handbook in Monte Carlo Simulation features: An introductory section for basic material on stochastic modeling and estimation aimed at readers who may need a summary or review of the essentials Carefully crafted examples in order to spot potential pitfalls and drawbacks of each approach An accessible treatment of advanced topics such as low-discrepancy sequences, stochastic optimization, dynamic programming, risk measures, and Markov chain Monte Carlo methods Numerous pieces of R code used to illustrate fundamental ideas in concrete terms and encourage experimentation The Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics is a complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, as well as a supplement for MBA and graduate-level courses on Monte Carlo methods and simulation.
Optimization In Economics And Finance
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Author : Bruce D. Craven
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-03-30
Optimization In Economics And Finance written by Bruce D. Craven 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 2006-03-30 with Business & Economics categories.
Some recent developments in the mathematics of optimization, including the concepts of invexity and quasimax, have not yet been applied to models of economic growth, and to finance and investment. Their applications to these areas are shown in this book.