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

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.