Numerical Methods and Optimization in Finance

Numerical Methods and Optimization in Finance

Written for graduate students studying quantitative or computational finance, this book describes computational finance tools. It covers fundamental numerical analysis and computational techniques, such as option pricing, and gives special attention to simulation and optimization. Topics covered include linear equations and least-squares problems, finite difference method, binomial trees, simulation, and financial simulation.

MATLAB is introduced and used to solve numerous examples in the book. In addition, a supplemental set of MATLAB code files is available for download.

About This Book

Manfred Gilli, University of Geneva
Dietmar Maringer, University of Basel
Enrico Schumann, Value Investment Professionals

Academic Press, 2011

ISBN: 978-0-12-375662-6
Language: English

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