Coverart for item
The Resource Numerical methods and optimization in finance, Manfred Gilli, Dietmar Maringer, Enrico Schumann, (electronic book)

Numerical methods and optimization in finance, Manfred Gilli, Dietmar Maringer, Enrico Schumann, (electronic book)

Label
Numerical methods and optimization in finance
Title
Numerical methods and optimization in finance
Statement of responsibility
Manfred Gilli, Dietmar Maringer, Enrico Schumann
Creator
Contributor
Subject
Language
eng
Summary
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
Member of
Cataloging source
IDEBK
http://library.link/vocab/creatorDate
1942-
http://library.link/vocab/creatorName
Gilli, Manfred
Dewey number
624.068/1
Index
index present
LC call number
HG176.7
LC item number
.G55 2011
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Maringer, Dietmar.
  • Schumann, Enrico.
http://library.link/vocab/subjectName
Financial engineering
Label
Numerical methods and optimization in finance, Manfred Gilli, Dietmar Maringer, Enrico Schumann, (electronic book)
Instantiates
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Contents
Fundamentals -- Simulation -- Optimization
Control code
SCIDI742299004
Dimensions
unknown
Extent
1 online resource (xv, 584 p.)
File format
unknown
Form of item
online
Isbn
9780123756626
Level of compression
unknown
Quality assurance targets
unknown
Reformatting quality
unknown
Specific material designation
remote
Label
Numerical methods and optimization in finance, Manfred Gilli, Dietmar Maringer, Enrico Schumann, (electronic book)
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Contents
Fundamentals -- Simulation -- Optimization
Control code
SCIDI742299004
Dimensions
unknown
Extent
1 online resource (xv, 584 p.)
File format
unknown
Form of item
online
Isbn
9780123756626
Level of compression
unknown
Quality assurance targets
unknown
Reformatting quality
unknown
Specific material designation
remote

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