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Numerical Methods in Finance and Economics: A MATLAB-Based Introduction, 2nd Edition
Paolo Brandimarte,
Politecnico di Torino, Torino, Italy
ISBN: 978-0-471-74503-7
©2006
696 pages
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Description
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This volume bridges the gap between financial theory and computational practice while helping students and practitioners exploit MATLAB for financial applications. It covers the basics of finance and numerical analysis and provides background material that suits the needs of students from both financial engineering and economics perspectives. Classical numerical analysis methods; optimization, including less familiar topics such as stochastic, integer, and dynamic programming; simulation, including low discrepancy sequences; and partial differential equations are covered in detail. Extensive illustrative examples of the applications of all of these methodologies are also provided.
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