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

by Dessislava Pachamanova; Frank J. Fabozzi (School of Management, Yale Univ.)

• ISBN13: 9780470882108
• ISBN10: 0470882107
• Format: eBook
• Copyright: 2010-08-01
• Publisher: Wiley

Summary

Engaging and accessible, this book and its companion Web site provide an introduction to the simulation and optimization techniques most widely used in finance, while, at the same time, offering essential information on the financial concepts surrounding these applications.

This practical guide is divided into five informative parts: *

Part I, Fundamental Concepts, provides insights on the most important issues in finance, simulation, optimization, and optimization under uncertainty *

Part II, Portfolio Optimization and Risk Measures, reviews the theory and practice of equity and fixed income portfolio management, from classical frameworks to recent advances in the theory of risk measurement *

Part III, Asset Pricing Models, discusses classical static and dynamic models for asset pricing, such as factor models and different types of random walks *

Part IV, Derivative Pricing and Use, introduces important types of financial derivatives, shows how their value can be determined by simulation, and discusses how derivatives can be employed for portfolio risk management and return enhancement purposes *

Part V, Capital Budgeting Decisions, reviews capital budgeting decision models, including real options, and discusses applications of simulation and optimization in capital budgeting under uncertainty

Supplemented with models and code in both spreadsheet-based software (@RISK, Solver, and VBA) and mathematical modeling software (MATLAB), Simulation and Optimization in Finance is a well-rounded guide to a dynamic discipline.

Table of Contents

Preface

Introduction

Fundamental Concepts

Important Finance Concepts

Random Variables, Probability Distributions, and Important Statistical Concepts

Simulation Modeling and Software

Optimization Modeling

Optimization under Uncertainty

Portfolio Optimization and Risk Measures

Asset Diversification and Efficient Frontiers

Advances in the Theory of Risk Measures

Equity Portfolio Management in Practice

Fixed Income Portfolio Management in Practice

Asset Pricing Models

Regression and Factor Models

Modeling Asset Price Dynamics

Derivative Pricing and Use

Introduction to Derivatives

Pricing Derivatives by Simulation

Structuring and Pricing Residential Mortgage-Backed Securities

Using Derivatives in Portfolio Management

Capital Budgeting Decisions

Capital budgeting under uncertainty

Real options

ReferenceS

Index

Table of Contents provided by Publisher. All Rights Reserved.