Numerical Methods in Finance and Economics

A MATLAB-Based Introduction

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Author: Paolo Brandimarte

Publisher: John Wiley & Sons

ISBN: 1118625579

Category: Mathematics

Page: 696

View: 9901

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.

Numerical Methods in Finance

A MATLAB-Based Introduction

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Author: Paolo Brandimarte

Publisher: John Wiley & Sons

ISBN: 0471461695

Category: Mathematics

Page: 432

View: 1419

Balanced coverage of the methodology and theory of numericalmethods in finance Numerical Methods in Finance bridges the gap between financialtheory and computational practice while helping students andpractitioners exploit MATLAB for financial applications. Paolo Brandimarte covers the basics of finance and numericalanalysis and provides background material that suits the needs ofstudents from both financial engineering and economicsperspectives. Classical numerical analysis methods; optimization,including less familiar topics such as stochastic and integerprogramming; simulation, including low discrepancy sequences; andpartial differential equations are covered in detail. Extensiveillustrative examples of the application of all of thesemethodologies are also provided. The text is primarily focused on MATLAB-based application, but alsoincludes descriptions of other readily available toolboxes that arerelevant to finance. Helpful appendices on the basics of MATLAB andprobability theory round out this balanced coverage. Accessible forstudents-yet still a useful reference for practitioners-NumericalMethods in Finance offers an expert introduction to powerful toolsin finance.

Numerical Methods and Optimization in Finance

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Author: Manfred Gilli,Dietmar Maringer,Enrico Schumann

Publisher: Academic Press

ISBN: 0123756626

Category: Business & Economics

Page: 584

View: 6945

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

Simulation in Computational Finance and Economics: Tools and Emerging Applications

Tools and Emerging Applications

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Author: Alexandrova-Kabadjova, Biliana

Publisher: IGI Global

ISBN: 1466620129

Category: Business & Economics

Page: 378

View: 8085

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.

Computational Methods in Decision-Making, Economics and Finance

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Author: Erricos John Kontoghiorghes,B. Rustem,S. Siokos

Publisher: Springer Science & Business Media

ISBN: 1475736134

Category: Business & Economics

Page: 626

View: 4897

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.

Numerical Methods in Economics

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Author: Kenneth L. Judd,Kenneth L.. Judd

Publisher: MIT Press

ISBN: 9780262100717

Category: Business & Economics

Page: 633

View: 8205

"Judd's book is a masterpiece which will help transform the way economic theory is done. It harnesses the computer revolution in the service of economic theory by collecting together a whole array of numerical methods to simulate and quantify models that used to be purely algebraic and qualitative." -- Avinash K. Dixit, Sherrerd University Professor of Economics, Princeton University To harness the full power of computer technology, economists need to use a broad range of mathematical techniques. In this book, Kenneth Judd presents techniques from the numerical analysis and applied mathematics literatures and shows how to use them in economic analyses. The book is divided into five parts. Part I provides a general introduction. Part II presents basics from numerical analysis on "Rn," including linear equations, iterative methods, optimization, nonlinear equations, approximation methods, numerical integration and differentiation, and Monte Carlo methods. Part III covers methods for dynamic problems, including finite difference methods, projection methods, and numerical dynamic programming. Part IV covers perturbation and asymptotic solution methods. Finally, Part V covers applications to dynamic equilibrium analysis, including solution methods for perfect foresight models and rational expectation models. A web site contains supplementary material including programs and answers to exercises.

Numerical Methods in Finance

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Author: L. C. G. Rogers,D. Talay

Publisher: Cambridge University Press

ISBN: 9780521573542

Category: Business & Economics

Page: 326

View: 2475

Numerical Methods in Finance describes a wide variety of numerical methods used in financial analysis.

Handbook of Computational and Numerical Methods in Finance

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Author: Svetlozar T. Rachev

Publisher: Springer Science & Business Media

ISBN: 0817681809

Category: Mathematics

Page: 435

View: 4772

The subject of numerical methods in finance has recently emerged as a new discipline at the intersection of probability theory, finance, and numerical analysis. The methods employed bridge the gap between financial theory and computational practice, and provide solutions for complex problems that are difficult to solve by traditional analytical methods. 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 and survey articles focusing on various numerical methods in finance. The book is designed for the academic community and will also serve professional investors.

Numerical Methods in Finance with C++

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Author: Maciej J. Capiński,Tomasz Zastawniak

Publisher: Cambridge University Press

ISBN: 1139536273

Category: Business & Economics

Page: N.A

View: 9688

Driven by concrete computational problems in quantitative finance, this book provides aspiring quant developers with the numerical techniques and programming skills they need. The authors start from scratch, so the reader does not need any previous experience of C++. Beginning with straightforward option pricing on binomial trees, the book gradually progresses towards more advanced topics, including nonlinear solvers, Monte Carlo techniques for path-dependent derivative securities, finite difference methods for partial differential equations, and American option pricing by solving a linear complementarity problem. Further material, including solutions to all exercises and C++ code, is available online. The book is ideal preparation for work as an entry-level quant programmer and it gives readers the confidence to progress to more advanced skill sets involving C++ design patterns as applied in finance.

Emerging Markets and the Global Economy

A Handbook

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Author: Mohammed El Hedi Arouri,Sabri Boubaker,Duc Khuong Nguyen

Publisher: Academic Press

ISBN: 0124115632

Category: Business & Economics

Page: 928

View: 909

Emerging Markets and the Global Economy investigates analytical techniques suited to emerging market economies, which are typically prone to policy shocks. Despite the large body of emerging market finance literature, their underlying dynamics and interactions with other economies remain challenging and mysterious because standard financial models measure them imprecisely. Describing the linkages between emerging and developed markets, this collection systematically explores several crucial issues in asset valuation and risk management. Contributors present new theoretical constructions and empirical methods for handling cross-country volatility and sudden regime shifts. Usually attractive for investors because of the superior growth they can deliver, emerging markets can have a low correlation with developed markets. This collection advances your knowledge about their inherent characteristics. Foreword by Ali M. Kutan Concentrates on post-crisis roles of emerging markets in the global economy Reports on key theoretical and technical developments in emerging financial markets Forecasts future developments in linkages among developed and emerging economies