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Author Uǧur, Ömür.

Title An Introduction to computational finance / Ömür Uǧ̌̌ur
Published London : Imperial College Press ; Singapore ; Hackensack, NJ : Distributed by World Scientific, [2009]


Location Call no. Vol. Availability
 MELB  332.0285 Ugu/Itc  AVAILABLE
Description xv, 298 pages : illustrations (some color) ; 24 cm
Series Series in quantitative finance ; v. 1
Series in quantitative finance ; v. 1
Contents Machine generated contents note: 1.Introduction -- 2.Option Pricing and Binomial Methods -- 3.Stochastic Differential Equations -- 4.The Black-Scholes Equation -- 5.Random Numbers and Monte Carlo Simulation -- 6.Option Pricing by Partial Differential Equations -- Appendix.A Short Introduction to MATLAB
Summary "Although there are several publications on similar subjects, this book mainly focuses on pricing of options and bridges the gap between Mathematical Finance and Numerical Methodologies. The author collects the key contributions of several monographs and selected literature, values and displays their importance, and composes them here to create a work which has its own characteristics in content and style." "This invaluable book provides working Matlab codes not only to implement the algorithms presented in the text, but also to help readers code their own pricing algorithms in their preferred programming languages. Availability of the codes under an Internet site is also offered by the author." "Not only does this book serve as a textbook in related undergraduate or graduate courses, but it can also be used by those who wish to implement or learn pricing algorithms by themselves. The basic methods of option pricing are presented in a self-contained and unified manner, and will --
hopefully help readers improve their mathematical and computational backgrounds for more advanced topics." --Book Jacket
Bibliography Includes bibliographical references (pages 289-293) and index
Subject Finance -- Mathematical methods
Finance -- Mathematical models.
Options (Finance) -- Prices -- Mathematical methods
Options (Finance) -- Prices -- Mathematical models.
LC no. 2009288372
ISBN 1848161921
184816193X (paperback)
9781848161931 (paperback)
Other Titles Computational finance