Numerical Methods in Finance (eBook)

A MATLAB-Based Introduction

Paolo Brandimarte (Autor)

eBook Download: PDF

2003 | 1. Auflage
432 Seiten
John Wiley & Sons (Verlag)
978-0-471-46169-2 (ISBN)

Infos

Balanced coverage of the methodology and theory of numerical
methods in finance

Numerical Methods in Finance bridges the gap between financial
theory and computational practice while helping students and
practitioners exploit MATLAB for financial applications.

Paolo Brandimarte covers the basics of finance and numerical
analysis and provides background material that suits the needs of
students from both financial engineering and economics
perspectives. Classical numerical analysis methods; optimization,
including less familiar topics such as stochastic and integer
programming; simulation, including low discrepancy sequences; and
partial differential equations are covered in detail. Extensive
illustrative examples of the application of all of these
methodologies are also provided.

The text is primarily focused on MATLAB-based application, but also
includes descriptions of other readily available toolboxes that are
relevant to finance. Helpful appendices on the basics of MATLAB and
probability theory round out this balanced coverage. Accessible for
students-yet still a useful reference for practitioners-Numerical
Methods in Finance offers an expert introduction to powerful tools
in finance.

Autor

PAOLO BRANDIMARTE is Professor of Quantitative Methods for Finance and Logistics at Politecnico di Torino in Italy.

Inhalt

Preface.

PART I: BACKGROUND.

Financial Problems and Numerical Methods.

PART II: NUMERICAL METHODS.

Basics of Numerical Analysis.

Optimization Methods.

Principles of Monte Carlo Simulation.

Finite Difference Methods for Partial Differential
Equations.

PART III: APPLICATIONS TO FINANCE.

Optimization Models for Portfolio Management.

Option Valuation by Monte Carlo Simulation.

Option Valuation by Finite Difference Methods.

PART IV: APPENDICES.

Appendix A: Introduction to MATLAB Programming.

Appendix B: Refresher of Probability Theory.

Index.

Rezensionen

"...aims at an intermediate niche between cookbook applications of
spreadsheets and higher-level math applied to fiance."
(Reference & Research Book News, February 2002)

"...intermediate-level textbook..." (Quarterly of Applied
Mathematics, Vol. LX, No. 2, June 2002)

Produkt-Details

• Erscheint lt. Verlag: 13.10.2003
• Reihe/Serie: Wiley Series in Probability and Statistics
• Reihe/Serie: Wiley Series in Probability and Statistics
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Computerprogramme / Computeralgebra
• Themenwelt: Mathematik / Informatik ► Mathematik ► Statistik
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Technik
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: Finance & Investments • Financial Engineering • Finanztechnik • Finanz- u. Anlagewesen • Finanz- u. Wirtschaftsstatistik • Mathematics • Mathematik • Numerical Methods • numerische Methoden • Statistics • Statistics for Finance, Business & Economics • Statistik
• ISBN-10: 0-471-46169-5 / 0471461695
• ISBN-13: 978-0-471-46169-2 / 9780471461692