Research Catalog

Numerical methods in finance : a MATLAB-based introduction

Title
Numerical methods in finance : a MATLAB-based introduction / Paolo Brandimarte.
Author
Brandimarte, Paolo.
Publication
New York : Wiley, [2002], ©2002.
Supplementary Content
  • Contributor biographical information
  • Publisher description
  • Table of Contents

Items in the Library & Off-site

Filter by

1 Item

StatusFormatAccessCall NumberItem Location
Request for On-site UseRequest Scan
How do I pick up this item and when will it be ready?
TextRequest in advance HG176.5 .B73 2002Off-site

Holdings

Details

Description
xv, 403 pages : illustrations; 25 cm.
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.
Series Statement
Wiley series in probability and statistics
Uniform Title
Wiley series in probability and statistics.
Subject
  • Matlab (Logiciel)
  • Finance > Statistical methods
  • FINANÇAS (MÉTODOS ESTATÍSTICOS)
  • Financiering
  • Statistische methoden
  • Numerieke methoden
  • MATLAB
  • Finance
  • Analyse numérique
  • Méthode statistique
  • Calcul numérique
Note
  • "A Wiley-Interscience publication."
Bibliography (note)
  • Includes bibliographical references and index.
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.
ISBN
  • 0471396869 (cloth : alk. paper)
  • 9780471396864 (cloth : alk. paper)
LCCN
2001026767
OCLC
  • ocm47092043
  • 47092043
  • SCSB-5403193
Owning Institutions
Columbia University Libraries