„Inquisitive statisticians may find this book an interesting readin 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 andresearchers who employ numerical methods in economic and financialmodeling. The amount and quality of the material that the authoroffers is so generous that readers are likely to benefit from iteven if they are not interested in some of the specificapplications presented.“ (Interfaces, June 2008)
„... a broad and enjoyable introduction to computationalfinance.“ (Journal of the American Statistical Association, December 2007)
„... written in such a lucid way that it provides great pleasurein reading... excellent for students... of great value topractitioners who are new to the field.“ (MAA Reviews, November 23, 2006)
A state-of-the-art introduction to the powerful mathematical andstatistical tools used in the field of finance
The use of mathematical models and numerical techniques is apractice employed by a growing number of applied mathematiciansworking on applications in finance. Reflecting this development, Numerical Methods in Finance and Economics: A MATLAB?-BasedIntroduction, Second Edition bridges the gap between financialtheory and computational practice while showing readers how toutilize MATLAB?--the powerful numerical computing environment--forfinancial applications.
The author provides an essential foundation in finance andnumerical analysis in addition to background material for studentsfrom both engineering and economics perspectives. A wide range oftopics is covered, including standard numerical analysis methods, Monte Carlo methods to simulate systems affected by significantuncertainty, and optimization methods to find an optimal set ofdecisions.
Among this book's most outstanding features is the integration ofMATLAB?, which helps students and practitioners solve relevantproblems in finance, such as portfolio management and derivativespricing. This tutorial is useful in connecting theory with practicein the application of classical numerical methods and advancedmethods, while illustrating underlying algorithmic concepts inconcrete terms.
Newly featured in the Second Edition:
* In-depth treatment of Monte Carlo methods with due attention paidto variance reduction strategies
* New appendix on AMPL in order to better illustrate theoptimization models in Chapters 11 and 12
* New chapter on binomial and trinomial lattices
* Additional treatment of partial differential equations with twospace dimensions
* Expanded treatment within the chapter on financial theory toprovide a more thorough background for engineers not familiar withfinance
* New coverage of advanced optimization methods and applicationslater in the text
Numerical Methods in Finance and Economics: A MATLAB?-BasedIntroduction, Second Edition presents basic treatments and morespecialized literature, and it also uses algebraic languages, suchas AMPL, to connect the pencil-and-paper statement of anoptimization model with its solution by a software library. Offering computational practice in both financial engineering andeconomics fields, this book equips practitioners with the necessarytechniques to measure and manage risk.
The use of mathematical models and numerical techniques is apractice employed by a growing number of applied mathematiciansworking on applications in finance. Reflecting this development, Numerical Methods in Finance and Economics: A MATLAB?-BasedIntroduction, Second Edition bridges the gap between financialtheory and computational practice while showing readers how toutilize MATLAB?--the powerful numerical computing environment--forfinancial applications.
The author provides an essential foundation in finance andnumerical analysis in addition to background material for studentsfrom both engineering and economics perspectives. A wide range oftopics is covered, including standard numerical analysis methods, Monte Carlo methods to simulate systems affected by significantuncertainty, and optimization methods to find an optimal set ofdecisions.
Among this book's most outstanding features is the integration ofMATLAB?, which helps students and practitioners solve relevantproblems in finance, such as portfolio management and derivativespricing. This tutorial is useful in connecting theory with practicein the application of classical numerical methods and advancedmethods, while illustrating underlying algorithmic concepts inconcrete terms.
Newly featured in the Second Edition:
* In-depth treatment of Monte Carlo methods with due attention paidto variance reduction strategies
* New appendix on AMPL in order to better illustrate theoptimization models in Chapters 11 and 12
* New chapter on binomial and trinomial lattices
* Additional treatment of partial differential equations with twospace dimensions
* Expanded treatment within the chapter on financial theory toprovide a more thorough background for engineers not familiar withfinance
* New coverage of advanced optimization methods and applicationslater in the text
Numerical Methods in Finance and Economics: A MATLAB?-BasedIntroduction, Second Edition presents basic treatments and morespecialized literature, and it also uses algebraic languages, suchas AMPL, to connect the pencil-and-paper statement of anoptimization model with its solution by a software library. Offering computational practice in both financial engineering andeconomics fields, this book equips practitioners with the necessarytechniques to measure and manage risk.
