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Book Cover
Book
Author Brandimarte, Paolo.

Title Numerical methods in finance : a MATLAB-based introduction / Paolo Brandimarte
Published New York : Wiley, [2002]
©2002

Copies

Location Call no. Vol. Availability
 MELB  332.0151 Bra/Nmi  AVAILABLE
Description xv, 403 pages : illustrations ; 25 cm
Series Wiley series in probability and statistics
Wiley series in probability and statistics.
Contents Pt. I. Background -- 1. Financial problems and numerical methods -- Pt. II. Numerical Methods -- 2. Basics of numerical analysis -- 3. Optimization methods -- 4. Principles of Monte Carlo simulation -- 5. Finite difference methods for partial differential equations -- Pt. III. Applications to Finance -- 6. Optimization models for portfolio management -- 7. Option valuation by Monte Carlo simulation -- 8. Option valuation by finite difference methods -- Pt. IV. Appendices -- App. A. Introduction to MATLAB programming -- App. B. Refresher on probability theory
Summary "The text is primarily focused on MATLAB-based application, but also includes descriptions of other readily available toolboxes that are relevant to finance. Helpful appendices on the basics of MATLAB and probability theory round out this balanced coverage. Accessible for students - yet still a useful reference for practitioners - Numerical Methods in Finance offers an expert introduction to powerful tools in finance."--BOOK JACKET
Notes "A Wiley-Interscience publication."
Bibliography Includes bibliographical references and index
Subject Finance -- Statistical methods.
LC no. 2001026767
ISBN 0471396869 cloth alkaline paper