Simulation and Optimization in Finance

Beschreibung

An introduction to the theory and practice of financialsimulation and optimization In recent years, there has been a notable increase in the use ofsimulation 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 simulationand optimization techniques most widely used in finance, while atthe same time offering background on the financial concepts inthese applications. In addition, it clarifies difficult concepts intraditional models of uncertainty in finance, and teaches you howto build models with software. It does this by reviewing currentsimulation and optimization methodology-along with availablesoftware-and proceeds with portfolio risk management, modeling ofrandom processes, pricing of financial derivatives, and realoptions applications. * Contains a unique combination of finance theory and rigorousmathematical modeling emphasizing a hands-on approach throughimplementation with software * Highlights not only classical applications, but also morerecent developments, such as pricing of mortgage-backedsecurities * 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 offersessential guidance on some of the most important topics infinancial management.

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Dessislava A. Pachamanova

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