Product Description

This book integrates the topics of numerical methods, financial problem solving, and MATLAB programming into one balanced treatment. Its tutorial approach features MATLAB examples as a means of illustrating the concepts in practical, every day financial problems.

Product Details

• Amazon Sales Rank: #566226 in Books
• Published on: 2001-10-30
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 416 pages

Review
"...aims at an intermediate niche between cookbook applications of spreadsheets and higher–level math applied to fiance." (Reference & Research Book News, February 2002)

"...intermediate–level textbook..." (Quarterly of Applied Mathematics, Vol. LX, No. 2, June 2002)

From the Back Cover
Balanced coverage of the methodology and theory of numerical methods in finance

Numerical Methods in Finance bridges the gap between financial theory and computational practice while helping students and practitioners exploit MATLAB for financial applications.

Paolo Brandimarte covers the basics of finance and numerical analysis and provides background material that suits the needs of students from both financial engineering and economics perspectives. Classical numerical analysis methods; optimization, including less familiar topics such as stochastic and integer programming; simulation, including low discrepancy sequences; and partial differential equations are covered in detail. Extensive illustrative examples of the application of all of these methodologies are also provided.

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.

About the Author
PAOLO BRANDIMARTE is Professor of Quantitative Methods for Finance and Logistics at Politecnico di Torino in Italy.

Customer Reviews

First totally Matlab based guide to financial modelling
This book present in a clearly organized way how numerical methods can be applied in finance. After an exhaustive tour of traditional numerical methohds in solving linear and non linear system of equation, it provided a self contained exposition on:

1) Optimization
2) Finite difference schemes for partial differential equations
3) MonteCarlo e QuasiMonteCarlo Methods

The first part is mainly applied to portofolio selection theory, whereas 2) and 3), after being carefully reviewed in their theoretical foundation, are applied in pricing financial derivatives..I particularly liked the part on quasi montecarlo methods, which is then applied to some exotic kind options. The exposition is clear and motivating; Matlab code is reported after all relevant topics, and is freely downloadable at the author's web site. Overall, I highly rate this book, but I don't give 5 stars only because the author hasn't include any example on interest rate derivatives modelling. Finite difference schemes and MC and QMC are applied exclusively to equity options.Anyway, a little background in programming is required, even if a little part on programming skills is included in the appendix.