Details

Numerical Methods in Finance


Numerical Methods in Finance

A MATLAB-Based Introduction
Wiley Series in Probability and Statistics, Band 489 1. Aufl.

von: Paolo Brandimarte

90,99 €

Verlag: Wiley
Format: PDF
Veröffentl.: 13.10.2003
ISBN/EAN: 9780471461692
Sprache: englisch
Anzahl Seiten: 432

DRM-geschütztes eBook, Sie benötigen z.B. Adobe Digital Editions und eine Adobe ID zum Lesen.

Beschreibungen

Balanced coverage of the methodology and theory of numerical methods in finance<br /> <br /> Numerical Methods in Finance bridges the gap between financial theory and computational practice while helping students and practitioners exploit MATLAB for financial applications.<br /> <br /> 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.<br /> <br /> 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.
Preface. <p>PART I: BACKGROUND.</p> <p>Financial Problems and Numerical Methods.</p> <p>PART II: NUMERICAL METHODS.</p> <p>Basics of Numerical Analysis.</p> <p>Optimization Methods.</p> <p>Principles of Monte Carlo Simulation.</p> <p>Finite Difference Methods for Partial Differential Equations.</p> <p>PART III: APPLICATIONS TO FINANCE.</p> <p>Optimization Models for Portfolio Management.</p> <p>Option Valuation by Monte Carlo Simulation.</p> <p>Option Valuation by Finite Difference Methods.</p> <p>PART IV: APPENDICES.</p> <p>Appendix A: Introduction to MATLAB Programming.</p> <p>Appendix B: Refresher of Probability Theory.</p> <p>Index.</p>
"...aims at an intermediate niche between cookbook applications of spreadsheets and higher-level math applied to fiance." (<i>Reference & Research Book News</i>, February 2002) <p>"...intermediate-level textbook..." (<i>Quarterly of Applied Mathematics</i>, Vol. LX, No. 2, June 2002)</p>
PAOLO BRANDIMARTE is Professor of Quantitative Methods for Finance and Logistics at Politecnico di Torino in Italy.
Balanced coverage of the methodology and theory of numerical methods in finance <p>Numerical Methods in Finance bridges the gap between financial theory and computational practice while helping students and practitioners exploit MATLAB for financial applications.</p> <p>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.</p> <p>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.</p>

Diese Produkte könnten Sie auch interessieren:

Statistics for Microarrays
Statistics for Microarrays
von: Ernst Wit, John McClure
PDF ebook
90,99 €