Simulation and Optimization in Finance + Website : Modeling with MATLAB, @Risk, or VBA.

Simulation and Optimization in Finance + Website : Modeling with MATLAB, @Risk, or VBA.

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 budget...

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Bibliographic Details
Main Author: Pachamanova, Dessislava
Other Authors: Fabozzi, Frank J.
Format: eBook
Language:English
Published: Hoboken : John Wiley & Sons, 2010.
Series:Frank J. Fabozzi series.
Subjects:
Finance > Mathematical models > Computer programs.
BUSINESS & ECONOMICS > Finance.
Finance > Mathematical models > Computer programs
Online Access:Click for online access
Table of 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.

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