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Simulation and optimization in finance [electronic resource] : modeling with MATLAB, @Risk, or VBA / Dessislava A. Pachamanova, Frank J. Fabozzi.

Author/Creator:
Pachamanova, Dessislava A.
Publication:
Hoboken, NJ : Wiley, 2010.
Format/Description:
Book
1 online resource (787 p.)
Series:
Frank J. Fabozzi series ; 173.
Frank J. Fabozzi series ; 173
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Subjects:
Finance -- Mathematical models -- Computer programs.
Numerical analysis -- Data processing.
Form/Genre:
Electronic books.
Language:
English
Summary:
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 tradi
Contents:
Simulation and Optimization in Finance + Web Site: Modeling with MATLAB, @RISK, or VBA; Contents; Preface; CENTRAL THEMES; SOFTWARE; TEACHING; COMPANION WEB SITE; NOTES; About the Authors; Acknowledgments; Chapter 1: Introduction; OPTIMIZATION; SIMULATION; OUTLINE OF TOPICS; Part One: Fundamental Concepts; Chapter 2: Important Finance Concepts; Chapter 3: Random Variables, Probability Distributions, and Important Statistical Concepts; Chapter 4: Simulation Modeling; Chapter 5: Optimization Modeling; Chapter 6: Optimization under Uncertainty; Part Two: Portfolio Optimization and Risk Measures
Chapter 7: Asset Diversification and Efficient FrontiersChapter 8: Advances in the Theory of Portfolio Risk Measures; Chapter 9: Equity Portfolio Selection in Practice; Chapter 10: Fixed Income Portfolio Management in Practice; Part Three: Asset Pricing Models; Chapter 11: Factor Models; Chapter 12: Modeling Asset Price Dynamics; Part Four: Derivative Pricing and Use; Chapter 13: Introduction to Derivatives; Chapter 14: Pricing Derivatives by Simulation; Chapter 15: Structuring and Pricing Residential Mortgage-Backed Securities; Chapter 16: Using Derivatives in Portfolio Management
Part Five: Capital Budgeting DecisionsChapter 17: Capital Budgeting under Uncertainty; Chapter 18: Real Options; References; Index
Notes:
Description based upon print version of record.
Includes bibliographical references and index.
Contributor:
Fabozzi, Frank J.
ISBN:
1-282-78284-3
9786612782848
1-118-26775-3
0-470-88210-7
OCLC:
699474370