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Simulation and Optimization in Finance: Modeling with MATLAB, @Risk, or VBA (Frank J. Fabozzi Series)
 
 

Simulation and Optimization in Finance: Modeling with MATLAB, @Risk, or VBA (Frank J. Fabozzi Series) [Kindle Edition]

Dessislava Pachamanova , Frank J. Fabozzi

Kindle-Preis: EUR 65,17 Inkl. MwSt. und kostenloser drahtloser Lieferung über Amazon Whispernet

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Produktbeschreibungen

Kurzbeschreibung

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.

Klappentext

In recent years, there has been a notable increase in the use of simulation and optimization methods in risk management, portfolio allocation, asset pricing, derivatives pricing, and capital budgeting under uncertainty.
 
With Simulation and Optimization in Finance and its companion Web site, authors Dessislava Pachamanova and Frank Fabozzi explain the application of these tools for both financial professionals and academics in this field.
 
Divided into five comprehensive parts, this reliable guide provides an accessible introduction to the simulation and optimization techniques most widely used in finance, while offering fundamental background information on the financial concepts surrounding these techniques.
 
In addition, the authors use simulation and optimization as a means to clarify difficult concepts in traditional risk models in finance, and explain how to build financial models with certain software. They review current simulation and optimization methodologies--along with the available software--and proceed with portfolio risk management, modeling of random processes, pricing of financial derivatives, and capital budgeting applications.
 
Designed for practitioners and students, this book:
* Contains a unique combination of finance theory and rigorous mathematical modeling emphasizing a hands-on approach through implementation with software
* Highlights both classical applications and more recent developments such as pricing of mortgage-backed securities
* Includes models and code in both spreadsheet-based software (@RISK, Solver, and VBA) and mathematical modeling software (MATLAB)
* Incorporates a companion Web site containing ancillary materials, including the models and code used in the book, appendices with introductions to the software, and practice sections
* And much more
 
Filled with in-depth insights and practical advice, Simulation and Optimization in Finance offers essential guidance on some of the most important topics in financial management.

Produktinformation

  • Format: Kindle Edition
  • Dateigröße: 8398 KB
  • Seitenzahl der Print-Ausgabe: 896 Seiten
  • Verlag: Wiley; Auflage: 1 (14. September 2010)
  • Verkauf durch: Amazon Media EU S.à r.l.
  • Sprache: Englisch
  • ASIN: B0043M4ZP2
  • Text-to-Speech (Vorlesemodus): Aktiviert
  • X-Ray:
  • Amazon Bestseller-Rang: #433.970 Bezahlt in Kindle-Shop (Siehe Top 100 Bezahlt in Kindle-Shop)

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Die hilfreichsten Kundenrezensionen auf Amazon.com (beta)
Amazon.com: 4.0 von 5 Sternen  4 Rezensionen
6 von 6 Kunden fanden die folgende Rezension hilfreich
3.0 von 5 Sternen Helpful book but many significant mistakes 16. April 2012
Von Max - Veröffentlicht auf Amazon.com
Format:Gebundene Ausgabe
I am currently studying a class based on this textbook. Very interesting and helpful textbook. However, the textbook contains many mistakes both in text, formulas, and in MATLAB codes (in every single chapter). That is why I give 3 stars. Perhaps, the textbook was not properly proofread before it was published. I remember the price was about $160 for the textbook 3 months ago and now it is just $79. Would not recommend this book for beginners.
7 von 8 Kunden fanden die folgende Rezension hilfreich
5.0 von 5 Sternen A thorough theory and practitioner's guide to Simulation and Optimization methods in finance! 24. Januar 2011
Von S. Krishnamurthy - Veröffentlicht auf Amazon.com
Format:Gebundene Ausgabe
Prof.Pachamanova has written one of the best introductions to Simulation and Optimization methods in finance. This book provides a strong theoretical foundation and the website provides a lot of cases and useful hands-on exercises to apply and understand the concepts explained in the book. This book is highly recommended for business and engineering students who are interested in a career in the quantitative finance industry. This book is also recommended to new entrants to the quant finance industry and to financial practitioners who primarily use Excel for quantitative modeling but are interested in building more rigorous models using VBA, @RISK and MATLAB.

This book has the optimal combination of theory and practice. It starts out with a through introduction to statistics, finance and optimization concepts. In the second part, the book describes portfolio optimization theory and applications in equity and fixed income markets. The third part focuses on asset pricing models discussing classical and dynamic models. The fourth section mainly focuses on derivative pricing and provides a very good introduction to Monte-Carlo simulation methods. Topics of current interest such as pricing MBS products are also described in this section. Part five focuses on capital budget decisions and has a very good introduction to real options. The Software hints in each chapter and the supplementary materials on the website help students and practitioners to immediately try out examples and fortify their knowledge.

Prof.Pachamanova's didactic approach and the vast coverage of topics makes this book a must have for new quantitative analysts, business students and engineers interested in a career in finance. As a Financial Modeling consultant who works at MathWorks (the maker of MATLAB), I get a lot of questions on recommendations for books to apply financial theory using computational tools. This book is a gem and would makes great addition to your quantitative investing library.

Full Disclosure: I took a Statistics class with Prof.Pachamanova during my MBA program at Babson College
3.0 von 5 Sternen Simulation and Optimization in Finance 1. März 2014
Von Gordon - Veröffentlicht auf Amazon.com
Format:Gebundene Ausgabe
Only 3 stars because the book is good but poor in content especially for the applications.
Each theme is treated with superficiality. More properly this book is an introduction.
5.0 von 5 Sternen Definitely worth a read 3. Februar 2014
Von D. Bhaduri - Veröffentlicht auf Amazon.com
Format:Gebundene Ausgabe|Verifizierter Kauf
One of the best portfolio management texts I've come across. Great balance between the practical context and the technical details necessary to implement. Would have appreciated some exercises to work through (especially for the more advanced chapters.)
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