Skip to main content

Numerical Methods and Optimization in Finance

  • 2nd Edition - August 16, 2019
  • Authors: Manfred Gilli, Dietmar Maringer, Enrico Schumann
  • Language: English
  • Paperback ISBN:
    9 7 8 - 0 - 1 2 - 8 1 5 0 6 5 - 8
  • eBook ISBN:
    9 7 8 - 0 - 1 2 - 8 1 5 0 6 6 - 5

Computationally-intensive tools play an increasingly important role in financial decisions. Many financial problems—ranging from asset allocation to risk management and from op… Read more

Numerical Methods and Optimization in Finance

Purchase options

Limited Offer

Save 50% on book bundles

Immediately download your ebook while waiting for your print delivery. No promo code is needed.

Book bundle cover eBook and print

Institutional subscription on ScienceDirect

Request a sales quote

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.