Numerical Methods in Finance and Economics

Inhaltsverzeichnis

Preface to the Second Edition.
 
From the Preface to the First Edition.
 
PART I. BACKGROUND.
 
1. Motivation.
 
2. Financial Theory.
 
PART II. NUMERICAL METHODS.
 
3. Basics of Numerical Analysis.
 
4. Numerical Integration: Deterministic and Monte Carlo Methods.
 
5. Finite Difference Methods for Partial Differential Equations.
 
6. Convex Optimization.
 
PART III. PRICING EQUITY OPTIONS.
 
7. Option Pricing by Binomial and Trinomial Lattices.
 
8. Option Pricing by Monte Carlo Methods.
 
9. Option Pricing by Finite Difference Methods.
 
PART IV. ADVANCED OPTMIZATION MODELS AND METHODS.
 
10. Dynamic Programming.
 
11. Linear Stochastic Programming Models with Recourse.
 
12. Non-Convex Optimization.
 
PART V. APPENDICES.
 
Appendix A. Introduction to MATLAB Programming.
 
Appendix B. Refresher on Probability theory and Statistics.
 
Appendix C. Introduction to AMPL.
 
Index.

Numerical Methods in Finance and Economics

A MATLAB-Based Introduction

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Numerical Methods in Finance and Economics

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Beschreibung

Details

Einband

Gebundene Ausgabe

Erscheinungsdatum

01.11.2006

Verlag

John Wiley & Sons Inc

Seitenzahl

696

Maße (L/B/H)

24/16,1/4,2 cm

Beschreibung

Rezension

"Inquisitive statisticians may find this book an interesting read in 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 and researchers who employ numerical methods in economic and financial modeling. The amount and quality of the material that the author offers is so generous that readers are likely to benefit from it even if they are not interested in some of the specific applications presented." (Interfaces, June 2008)
 
"...a broad and enjoyable introduction to computational finance." (Journal of the American Statistical Association, December 2007)
 
"...written in such a lucid way that it provides great pleasure in reading...excellent for students...of great value to practitioners who are new to the field." (MAA Reviews, November 23, 2006)

Details

Einband

Gebundene Ausgabe

Erscheinungsdatum

01.11.2006

Verlag

John Wiley & Sons Inc

Seitenzahl

696

Maße (L/B/H)

24/16,1/4,2 cm

Gewicht

1202 g

Auflage

2nd edition

Sprache

Englisch

ISBN

978-0-471-74503-7

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Die Leseprobe wird geladen.
  • Numerical Methods in Finance and Economics
  • Preface to the Second Edition.
     
    From the Preface to the First Edition.
     
    PART I. BACKGROUND.
     
    1. Motivation.
     
    2. Financial Theory.
     
    PART II. NUMERICAL METHODS.
     
    3. Basics of Numerical Analysis.
     
    4. Numerical Integration: Deterministic and Monte Carlo Methods.
     
    5. Finite Difference Methods for Partial Differential Equations.
     
    6. Convex Optimization.
     
    PART III. PRICING EQUITY OPTIONS.
     
    7. Option Pricing by Binomial and Trinomial Lattices.
     
    8. Option Pricing by Monte Carlo Methods.
     
    9. Option Pricing by Finite Difference Methods.
     
    PART IV. ADVANCED OPTMIZATION MODELS AND METHODS.
     
    10. Dynamic Programming.
     
    11. Linear Stochastic Programming Models with Recourse.
     
    12. Non-Convex Optimization.
     
    PART V. APPENDICES.
     
    Appendix A. Introduction to MATLAB Programming.
     
    Appendix B. Refresher on Probability theory and Statistics.
     
    Appendix C. Introduction to AMPL.
     
    Index.