ISBN-10:
0471745030
ISBN-13:
9780471745037
Pub. Date:
10/13/2006
Publisher:
Wiley
Numerical Methods in Finance and Economics: A MATLAB-Based Introduction / Edition 2

Numerical Methods in Finance and Economics: A MATLAB-Based Introduction / Edition 2

by Paolo Brandimarte

Hardcover

View All Available Formats & Editions
Current price is , Original price is $182.0. You
Select a Purchase Option (Revised Edition)
  • purchase options
    $45.15 $182.00 Save 75% Current price is $45.15, Original price is $182.0. You Save 75.1923076923077%.
    • Free return shipping at the end of the rental period details
    • Textbook Rentals in 3 Easy Steps  details
    icon-error
    Note: Access code and/or supplemental material are not guaranteed to be included with textbook rental or used textbook.
  • purchase options
    $146.16 $182.00 Save 20% Current price is $146.16, Original price is $182. You Save 20%.
  • purchase options
    $98.89 $182.00 Save 46% Current price is $98.89, Original price is $182. You Save 46%.
    icon-error
    Note: Access code and/or supplemental material are not guaranteed to be included with textbook rental or used textbook.
  • purchase options

Product Details

ISBN-13: 9780471745037
Publisher: Wiley
Publication date: 10/13/2006
Series: Statistics in Practice Series , #20
Edition description: Revised Edition
Pages: 696
Product dimensions: 6.45(w) x 9.52(h) x 1.70(d)

About the Author

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.

Table of Contents

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 CarloMethods.

5. Finite Difference Methods for Partial DifferentialEquations.

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.

What People are Saying About This

From the Publisher

"Inquisitive statisticians may find this book an interesting read in which to put their theories and epistemology to the test." (Journal of American Statistics, 2008)

"In summary, this book is a "must have" for professionals and researchers who employ numerical methods in economic and financial modeling. The amount and quality of the material that the author offers is so generous that readers are likely to benefit from it even if they are not interested in some of the specific applications presented." (Interfaces, June 2008)

"…a broad and enjoyable introduction to computational finance." (Journal of the American Statistical Association, December 2007)

"...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)

Customer Reviews

Most Helpful Customer Reviews

See All Customer Reviews