Numerical Methods in Finance and Economics
A MATLAB-Based Introduction
Book Details:
Publisher: | Wiley-Interscience |
Series: |
Wiley
|
Author: | Paolo Brandimarte |
Edition: | 1 |
ISBN-10: | 0471745030 |
ISBN-13: | 9780471745037 |
Pages: | 696 |
Published: | Oct 06 2006 |
Posted: | Nov 19 2014 |
Language: | English |
Book format: | PDF |
Book size: | 32.97 MB |
Book Description:
A state-of-the-art introduction to the powerful mathematical and statistical tools used in the field of financeThe use of mathematical models and numerical techniques is a practice employed by a growing number of applied mathematicians working on applications in finance. Reflecting this development, Numerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition bridges the gap between financial theory and computational practice while showing readers how to utilize MATLAB?--the powerful numerical computing environment--for financial applications.The author provides an essential foundation in finance and numerical analysis in addition to background material for students from both engineering and economics perspectives. A wide range of topics is covered, including standard numerical analysis methods, Monte Carlo methods to simulate systems affected by significant uncertainty, and optimization methods to find an optimal set of decisions.Among this book's most outstanding features is the integration of MATLAB?, which helps students and practitioners solve relevant problems in finance, such as portfolio management and derivatives pricing. This tutorial is useful in connecting theory with practice in the application of classical numerical methods and advanced methods, while illustrating underlying algorithmic concepts in concrete terms.Newly featured in the Second Edition:* In-depth treatment of Monte Carlo methods with due attention paid to variance reduction strategies* New appendix on AMPL in order to better illustrate the optimization models in Chapters 11 and 12* New chapter on binomial and trinomial lattices* Additional treatment of partial differential equations with two space dimensions* Expanded treatment within the chapter on financial theory to provide a more thorough background for engineers not familiar with finance* New coverage of advanced optimization methods and applications later in the textNumerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition presents basic treatments and more specialized literature, and it also uses algebraic languages, such as AMPL, to connect the pencil-and-paper statement of an optimization model with its solution by a software library. Offering computational practice in both financial engineering and economics fields, this book equips practitioners with the necessary techniques to measure and manage risk.
An elementary first course for students in mathematics and engineering Practical in approach: examples of code are provided for students to debug, and tasks with full solutions are provided at the end of each chapter Includes a glossary of useful terms, with each term supported by an example of the syntaxes commonly encountered...
2nd Edition
Numerical Methods in Engineering with Python, 2nd Edition is a text for engineering students and a reference for practicing engineers, especially those who wish to explore Python. This new edition features 18 additional exercises and the addition of rational function interpolation. Brent's method of root finding was replaced by Ridder's method, and the Fletcher-Reeves method of optimization was dropped in favor of the downhill simplex method. Each numerical method is explained in detail, and its shortcomings are pointed out. The examples that follow individual topics fall into two categories: hand computations that illustrate the inner workings of the ...
Numerical Methods in Engineering with MATLAB is a text for engineering students and a reference for practicing engineers, especially those who wish to explore the power and efficiency of MATLAB. Examples and applications were chosen for their relevance to real world problems, and where numerical solutions are most efficient. Numerical methods are discussed thoroughly and illustrated with problems involving both hand computation and programming. MATLAB mfiles accompany each method and are available on the book web site. This code is made simple and easy to understand by avoiding complex bookkeeping schemes, while maintaining the essential features of the method. MATLAB was chosen as the example language because of its ubiquitous use in engineering stu...
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