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Numerical methods in finance and economics : a MATLAB-based introduction /

Bibliographic Details
Main Author: Brandimarte, Paolo
Corporate Author: John Wiley & Sons
Format: eBook
Language:English
Published: Hoboken, N.J. : Wiley-Interscience, [2006]
Edition:2nd ed.
Series:Statistics in practice.
Subjects:
Economics > Statistical methods.
Finance > Statistical methods.
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • Motivation
  • Financial theory
  • Basics of numerical analysis
  • Numerical integration : deterministic and Monte Carlo methods
  • Finite difference methods for partial differential equations
  • Convex optimization
  • Option pricing by binomial and trinomial lattices
  • Option pricing by Monte Carlo methods
  • Option pricing by finite difference methods
  • Dynamic programming
  • Linear stochastic programming models with recourse
  • Non-convex optimization.