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Numerical Methods in Finance: A MATLAB-Based Introduction
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  • Wiley

More About This Title Numerical Methods in Finance: A MATLAB-Based Introduction

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

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.

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"...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)

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