Автор: Paolo Brandimarte
Название: Numerical Methods in Finance and Economics: A MATLAB-Based Introduction, 2nd Edition
Издательство: Wiley-Interscience
Год: 2006
ISBN: 9780471745037
Язык: English
Формат: pdf
Размер: 32,9 mb
Страниц: 696

The 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.