Simulation And Optimization In Finance PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Simulation And Optimization In Finance PDF full book. Access full book title Simulation And Optimization In Finance.
Author | : Dessislava A. Pachamanova |
Publisher | : John Wiley & Sons |
Total Pages | : 786 |
Release | : 2010-09-23 |
Genre | : Business & Economics |
ISBN | : 0470882123 |
Download Simulation and Optimization in Finance Book in PDF, ePub and Kindle
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.
Author | : Manfred Gilli |
Publisher | : Academic Press |
Total Pages | : 638 |
Release | : 2019-08-30 |
Genre | : |
ISBN | : 0128150653 |
Download Numerical Methods and Optimization in Finance Book in PDF, ePub and Kindle
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
Author | : Wayne L. Winston |
Publisher | : |
Total Pages | : 0 |
Release | : 2008-05-15 |
Genre | : Corporations |
ISBN | : 9781893281097 |
Download Financial Models Using Simulation and Optimization II Book in PDF, ePub and Kindle
Author | : Michael C Fu |
Publisher | : Springer |
Total Pages | : 387 |
Release | : 2014-11-13 |
Genre | : Business & Economics |
ISBN | : 1493913840 |
Download Handbook of Simulation Optimization Book in PDF, ePub and Kindle
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.
Author | : Bruce D. Craven |
Publisher | : Springer Science & Business Media |
Total Pages | : 161 |
Release | : 2006-03-30 |
Genre | : Business & Economics |
ISBN | : 0387242805 |
Download Optimization in Economics and Finance Book in PDF, ePub and Kindle
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.
Author | : Alexandrova-Kabadjova, Biliana |
Publisher | : IGI Global |
Total Pages | : 378 |
Release | : 2012-08-31 |
Genre | : Business & Economics |
ISBN | : 1466620129 |
Download Simulation in Computational Finance and Economics: Tools and Emerging Applications Book in PDF, ePub and Kindle
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.
Author | : Denis Belomestny |
Publisher | : Springer |
Total Pages | : 364 |
Release | : 2018-01-31 |
Genre | : Business & Economics |
ISBN | : 1137033517 |
Download Advanced Simulation-Based Methods for Optimal Stopping and Control Book in PDF, ePub and Kindle
This is an advanced guide to optimal stopping and control, focusing on advanced Monte Carlo simulation and its application to finance. Written for quantitative finance practitioners and researchers in academia, the book looks at the classical simulation based algorithms before introducing some of the new, cutting edge approaches under development.
Author | : Patrick L. Anderson |
Publisher | : CRC Press |
Total Pages | : 499 |
Release | : 2004-07-27 |
Genre | : Mathematics |
ISBN | : 0203494652 |
Download Business Economics and Finance with MATLAB, GIS, and Simulation Models Book in PDF, ePub and Kindle
This book takes recent theoretical advances in Finance and Economics and shows how they can be implemented in the real world. It presents tactics for using mathematical and simulation models to solve complex tasks of forecasting income, valuing businesses, predicting retail sales, and evaluating markets and tax and regulatory problems. Busine
Author | : Georg Ch. Pflug |
Publisher | : Springer Science & Business Media |
Total Pages | : 384 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 1461314496 |
Download Optimization of Stochastic Models Book in PDF, ePub and Kindle
Stochastic models are everywhere. In manufacturing, queuing models are used for modeling production processes, realistic inventory models are stochastic in nature. Stochastic models are considered in transportation and communication. Marketing models use stochastic descriptions of the demands and buyer's behaviors. In finance, market prices and exchange rates are assumed to be certain stochastic processes, and insurance claims appear at random times with random amounts. To each decision problem, a cost function is associated. Costs may be direct or indirect, like loss of time, quality deterioration, loss in production or dissatisfaction of customers. In decision making under uncertainty, the goal is to minimize the expected costs. However, in practically all realistic models, the calculation of the expected costs is impossible due to the model complexity. Simulation is the only practicable way of getting insight into such models. Thus, the problem of optimal decisions can be seen as getting simulation and optimization effectively combined. The field is quite new and yet the number of publications is enormous. This book does not even try to touch all work done in this area. Instead, many concepts are presented and treated with mathematical rigor and necessary conditions for the correctness of various approaches are stated. Optimization of Stochastic Models: The Interface Between Simulation and Optimization is suitable as a text for a graduate level course on Stochastic Models or as a secondary text for a graduate level course in Operations Research.
Author | : Hui Wang |
Publisher | : CRC Press |
Total Pages | : 294 |
Release | : 2012-05-22 |
Genre | : Business & Economics |
ISBN | : 1439858241 |
Download Monte Carlo Simulation with Applications to Finance Book in PDF, ePub and Kindle
Developed from the author’s course on Monte Carlo simulation at Brown University, Monte Carlo Simulation with Applications to Finance provides a self-contained introduction to Monte Carlo methods in financial engineering. It is suitable for advanced undergraduate and graduate students taking a one-semester course or for practitioners in the financial industry. The author first presents the necessary mathematical tools for simulation, arbitrary free option pricing, and the basic implementation of Monte Carlo schemes. He then describes variance reduction techniques, including control variates, stratification, conditioning, importance sampling, and cross-entropy. The text concludes with stochastic calculus and the simulation of diffusion processes. Only requiring some familiarity with probability and statistics, the book keeps much of the mathematics at an informal level and avoids technical measure-theoretic jargon to provide a practical understanding of the basics. It includes a large number of examples as well as MATLAB® coding exercises that are designed in a progressive manner so that no prior experience with MATLAB is needed.