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Finanzderivate mit MATLAB

Finanzederivate mit MATLAB: Mathematische Modellierung und numerische Simulation, 2e

Written for students of financial mathematics, this book covers modern numerical methods for the evaluation of financial derivatives like binomial methods, Monte-Carlo simulations, finite-difference methods, and the solution of free-boundary problems using MATLAB. The revised second edition contains additional topics such as interest-rate derivatives, quartos, energy derivatives, and CDOs.

An introduction to MATLAB is included in an appendix. In addition, MATLAB is used throughout the book to solve many application examples.

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About This Book

Michael Günther, Bergische Universität Wuppertal
Ansgar Jüngel, TU Wien

Vieweg+Teubner, 2010

ISBN: 978-3-8348-0879-0
Language: German