Brandimarte Numerical Methods in Finance

A MATLAB-Based Introduction
1. Auflage 2003
ISBN: 978-0-471-46169-2
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 432 Seiten, E-Book

Reihe: Wiley Series in Probability and Statistics

Balanced coverage of the methodology and theory of numericalmethods in finance
Numerical Methods in Finance bridges the gap between financialtheory and computational practice while helping students andpractitioners exploit MATLAB for financial applications.
Paolo Brandimarte covers the basics of finance and numericalanalysis and provides background material that suits the needs ofstudents from both financial engineering and economicsperspectives. Classical numerical analysis methods; optimization,including less familiar topics such as stochastic and integerprogramming; simulation, including low discrepancy sequences; andpartial differential equations are covered in detail. Extensiveillustrative examples of the application of all of thesemethodologies are also provided.
The text is primarily focused on MATLAB-based application, but alsoincludes descriptions of other readily available toolboxes that arerelevant to finance. Helpful appendices on the basics of MATLAB andprobability theory round out this balanced coverage. Accessible forstudents-yet still a useful reference for practitioners-NumericalMethods in Finance offers an expert introduction to powerful toolsin finance.

Autoren/Hrsg.

Brandimarte, Paolo

Inhaltsverzeichnis

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 DifferentialEquations.
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.

Über Autor(innen)

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