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Simulation And Optimization In Finance + Website "Modeling With Matlab, Risk, And Vba"

Modeling With Matlab, Risk, And Vba

Simulation And Optimization In Finance + Website "Modeling With Matlab, Risk, And Vba". Modeling With Matlab, Risk, And Vba

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  • ISBN:9780470371893
  • Editorial: Wiley & Sons Ltd.
  • Fecha de la edición:
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  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:766
  • Idiomas:Ingles

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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.

Preface
About the Authors
Acknowledgments
Chapter 1 Introduction 1
Optimization
Simulation
Outline of Topics
Part One Fundamental Concepts
Chapter 2 Important Finance Concepts 11
Basic Theory of Interest
Asset Classes
Basic Trading
Terminology
Calculating Rate of Return
Valuation
Important Concepts in Fixed Income
Summary
Notes
Chapter 3 Random Variables, Probability Distributions, and Important Statistical Concepts 51
What is a Probability Distribution?
Bernoulli Probability Distribution and Probability Mass Functions
Binomial Probability Distribution and Discrete Distributions
Normal Distribution and Probability Density Functions
Concept of Cumulative Probability
Describing Distributions
Brief Overview of Some Important Probability Distributions
Dependence Between Two Random Variables: Covariance and Correlation
Sums of Random Variables
Joint Probability Distributions and Conditional Probability

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