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Numerical Methods in Finance and Economics

A MATLAB-Based Introduction
BuchGebunden
696 Seiten
Englisch
Wiley & Sonserschienen am31.10.20062. Aufl.
A state-of-the-art introduction to the powerful mathematical and statistical tools used in the field of finance The use of mathematical models and numerical techniques is a practice employed by a growing number of applied mathematicians working on applications in finance.mehr
Verfügbare Formate
BuchGebunden
EUR193,50
E-BookPDF2 - DRM Adobe / Adobe Ebook ReaderE-Book
EUR162,99
E-BookEPUB2 - DRM Adobe / EPUBE-Book
EUR162,99

Produkt

KlappentextA state-of-the-art introduction to the powerful mathematical and statistical tools used in the field of finance The use of mathematical models and numerical techniques is a practice employed by a growing number of applied mathematicians working on applications in finance.
Details
ISBN/GTIN978-0-471-74503-7
ProduktartBuch
EinbandartGebunden
Erscheinungsjahr2006
Erscheinungsdatum31.10.2006
Auflage2. Aufl.
Seiten696 Seiten
SpracheEnglisch
Gewicht1088 g
Artikel-Nr.11485672

Inhalt/Kritik

Inhaltsverzeichnis
Preface to the Second Edition. From the Preface to the First Edition. PART I. BACKGROUND. 1. Motivation. 2. Financial Theory. PART II. NUMERICAL METHODS. 3. Basics of Numerical Analysis. 4. Numerical Integration: Deterministic and Monte Carlo Methods. 5. Finite Difference Methods for Partial Differential Equations. 6. Convex Optimization. PART III. PRICING EQUITY OPTIONS. 7. Option Pricing by Binomial and Trinomial Lattices. 8. Option Pricing by Monte Carlo Methods. 9. Option Pricing by Finite Difference Methods. PART IV. ADVANCED OPTMIZATION MODELS AND METHODS. 10. Dynamic Programming. 11. Linear Stochastic Programming Models with Recourse. 12. Non-Convex Optimization. PART V. APPENDICES. Appendix A. Introduction to MATLAB Programming. Appendix B. Refresher on Probability theory and Statistics. Appendix C. Introduction to AMPL. Index.mehr
Kritik
"...written in such a lucid way that it provides great pleasure in reading...excellent for students...of great value to practitioners who are new to the field." ( MAA Reviews , November 23, 2006)mehr

Autor

PAOLO BRANDIMARTE is Professor of Quantitative Methods for Finance and Logistics at Politecnico di Torino in Italy. He is the author of several publications, including five books, on the application of optimization and simulation to diverse areas such as production management, telecommunications, and finance. Dr. Brandimarte has extensive teaching experience in engineering and economics faculties, including master's and PhD-level courses.