Numerical Methods in Finance and Economics
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Numerical Methods in Finance and Economics
A MATLAB-Based Introduction
Brandimarte, Paolo
John Wiley & Sons Inc
10/2006
696
Dura
Inglês
9780471745037
15 a 20 dias
1079
Descrição não disponível.
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.
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.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
finance; powerful; field; stateoftheart introduction; mathematical; tools; use; methods; introduction; numerical; matlabbased; powerful numerical; computational practice; financial; gap; theory; between; readers; students; foundation
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.
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.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
