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Simulation and Optimization in Finance: Modeling with MATLAB, @Risk, or VBA Hardcover – Oct 5 2010

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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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Most Helpful Customer Reviews on (beta) 4 reviews
6 of 6 people found the following review helpful
Helpful book but many significant mistakes April 15 2012
By Max - Published on
Format: Hardcover
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 of 8 people found the following review helpful
A thorough theory and practitioner's guide to Simulation and Optimization methods in finance! Jan. 23 2011
By S. Krishnamurthy - Published on
Format: Hardcover
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
Simulation and Optimization in Finance Feb. 28 2014
By Marianne - Published on
Format: Hardcover
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.
Definitely worth a read Feb. 3 2014
By D. Bhaduri - Published on
Format: Hardcover Verified Purchase
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.)