Numerical Methods and Optimization in Finance

Manfred Gilli is Professor emeritus at the Department of Econometrics (now Economics) at the University of Geneva, Switzerland, where he taught numerical methods in economics and finance. His main research interests include numerical solution of large and sparse systems of equations, parallel computing, heuristic optimization techniques and numerical methods for pricing financial instruments. He is a member of the Advisory Board of the Computational Statistics and Data Analysis and a member of the editorial boards of Computational Economics and the Springer book series on Advances in Computational Economics and Advances in Computational Management Science. He also is a past president of the Society for Computational Economics.

Dietmar Maringer is Professor of Computational Economics and Finance at the University of Basel and University of Geneva, Switzerland. His research interests include heuristic optimization, computational and financial econometrics, high frequency trading and algo trading, and computational finance.

Enrico Schumann holds a Ph.D. in econometrics, an MSC in economics, and a BA in economics and law. He has written on accuracy and precision in finance, optimization cultures, and heuristics for portfolio selections, among other subjects.

"This book aims at providing guidance which is practical and useful for practitioners in finance with emphasis on computational techniques which are manageable by modern day desktop personal computers’ processing power when building, testing, comparing and using mathematical and econometric models of finance in the pursuit of analysis of actual financial market data in day to day activities of financial analysts, be they students of courses in finance programs or analysts in financial institutions."--Zentralblatt MATH 2012-1236-91001 "With as much rigor as can be mastered by anyone in the still-developing field of computational finance and a sense of humor, the authors unravel its mysteries. The presentations are clear and the models are practical --- these are the two ingredients that make for a valuable book in this field. The book is both practical in scope and rigorous on its theoretical foundations. It  is a must for anyone who needs to apply quantitative methods for financial planning --- and who doesn’t need to in our days?"--Stavros A. Zenios, University of Cyprus and the Wharton Financial Institutions Center "Numerical Methods and Optimization in Finance is an excellent introduction to computational science. The combination of methodology, software, and examples allows the reader to quickly grasp and apply serious computational ideas."--Kenneth L. Judd, Hoover Institution, Stanford University

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