Numerical Methods and Optimization in Finance, 2nd edition
Manfred Gilli, University of Geneva;
Dietmar Maringer, University of Basel;
Enrico Schumann, University of Basel
Academic Press, 2019
ISBN: 9780128150658;
Language: English
Written for postgraduate students, researchers in programs on quantitative and computational finance, and practitioners in banks or other financial companies, Numerical Methods and Optimization in Finance, 2nd edition describes computational finance tools. The book discusses computational techniques with an emphasis on simulation and optimization, particularly 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.
MATLAB is introduced and used to solve numerous examples in the book. In addition, a supplemental set of MATLAB code files is available for download.
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