HOME > Detail View

Detail View

Simulation and optimization in finance : modeling with MATLAB, @Risk, or VBA

Simulation and optimization in finance : modeling with MATLAB, @Risk, or VBA (Loan 5 times)

Material type
단행본
Personal Author
Pachamanova, Dessislava A. Fabozzi, Frank J.
Title Statement
Simulation and optimization in finance : modeling with MATLAB, @Risk, or VBA / Dessislava A. Pachamanova, Frank J. Fabozzi.
Publication, Distribution, etc
Hoboken, NJ :   Wiley,   2010.  
Physical Medium
xvii, 766 p. : ill. ; 24 cm.
Series Statement
Frank J. Fabozzi series ;173
ISBN
9780470371893 (hardback)
요약
"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 traditional models of uncertainty in finance, and teaches you how to build models with software. It does this by reviewing current simulation and optimization methodology-along with available software-and proceeds with portfolio risk management, modeling of random processes, pricing of financial derivatives, and real options applications. Contains a unique combination of finance theory and rigorous mathematical modeling emphasizing a hands-on approach through implementation with software. Highlights not only classical applications, but also more recent developments, such as pricing of mortgage-backed securities. 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 offers essential guidance on some of the most important topics in financial management."--
General Note
Includes index.  
Subject Added Entry-Topical Term
Finance -- Mathematical models -- Computer programs.
000 02568camuu2200301 a 4500
001 000045652447
005 20110609170650
008 110609s2010 njua 001 0 eng d
010 ▼a 2010027038
020 ▼a 9780470371893 (hardback)
035 ▼a (KERIS)REF000015899911
040 ▼a DLC ▼c DLC ▼d 211009
050 0 0 ▼a HG106 ▼b .P33 2010
082 0 0 ▼a 332.0285/53 ▼2 22
084 ▼a 332.028553 ▼2 DDCK
090 ▼a 332.028553 ▼b P116s
100 1 ▼a Pachamanova, Dessislava A.
245 1 0 ▼a Simulation and optimization in finance : ▼b modeling with MATLAB, @Risk, or VBA / ▼c Dessislava A. Pachamanova, Frank J. Fabozzi.
260 ▼a Hoboken, NJ : ▼b Wiley, ▼c 2010.
300 ▼a xvii, 766 p. : ▼b ill. ; ▼c 24 cm.
490 1 ▼a Frank J. Fabozzi series ; ▼v 173
500 ▼a Includes index.
520 ▼a "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 traditional models of uncertainty in finance, and teaches you how to build models with software. It does this by reviewing current simulation and optimization methodology-along with available software-and proceeds with portfolio risk management, modeling of random processes, pricing of financial derivatives, and real options applications. Contains a unique combination of finance theory and rigorous mathematical modeling emphasizing a hands-on approach through implementation with software. Highlights not only classical applications, but also more recent developments, such as pricing of mortgage-backed securities. 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 offers essential guidance on some of the most important topics in financial management."-- ▼c Provided by publisher.
650 0 ▼a Finance ▼x Mathematical models ▼x Computer programs.
700 1 ▼a Fabozzi, Frank J.
830 0 ▼a Frank J. Fabozzi series ; ▼v 173.
945 ▼a KLPA

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.028553 P116s Accession No. 121210487 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents

Preface. Chapter 1: Introduction. PART ONE: Fundamental Concepts. Chapter 2: Important Finance Concepts. Chapter 3: Random Variables, Probability Distributions, and Important Statistical Concepts. Chapter 4: Simulation Modeling and Software. Chapter 5: Optimization Modeling. Chapter 6: Optimization under Uncertainty. PART TWO: Portfolio Optimization and Risk Measures. Chapter 7: Asset Diversification and Efficient Frontiers. Chapter 8: Advances in the Theory of Risk Measures. Chapter 9: Equity Portfolio Management in Practice. Chapter 10: Fixed Income Portfolio Management in Practice. PART THREE: Asset Pricing Models. Chapter 11: Regression and 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 Decisions. Chapter 17: Capital budgeting under uncertainty. Chapter 18: Real options. REFERENCES. INDEX.


Information Provided By: : Aladin

New Arrivals Books in Related Fields

한국핀테크지원센터 (2021)
Vague, Richard (2022)