Statistics in Practice: Numerical Methods in Finance and Economics: A MATLAB-Based Introduction - Second Edition

Paolo Brandimarte

ISBN 10: 0471745030 / ISBN 13: 9780471745037

Published by Wiley-Interscience, 2006

About this Item

Vergilbt / ausgeblichen. This book serves as a comprehensive introduction to the mathematical and statistical tools essential in finance, reflecting the increasing use of mathematical models by applied mathematicians in this field. It bridges the gap between financial theory and computational practice, demonstrating how to utilize MATLAB, a powerful numerical computing environment, for various financial applications. The author lays a solid foundation in finance and numerical analysis, catering to students from engineering and economics backgrounds. Key topics include standard numerical analysis methods, Monte Carlo methods for simulating uncertain systems, and optimization techniques for decision-making. Notable features include an in-depth exploration of Monte Carlo methods with a focus on variance reduction, an appendix on AMPL to illustrate optimization models, and a new chapter on binomial and trinomial lattices. The treatment of partial differential equations is expanded, and there is enhanced coverage of financial theory to better support engineers unfamiliar with finance. Additionally, advanced optimization methods and applications are introduced later in the text. This book combines basic treatments with specialized literature, using algebraic languages like AMPL to connect optimization models with software solutions. It equips practitioners in financial engineering and economics with vital techniques for measuring and managing risk.

Seller Inventory # 8c556c8a-99a8-41e7-9f7e-3086947dd664

Bibliographic Details

• Title: Statistics in Practice: Numerical Methods in Finance and Economics: A MATLAB-Based Introduction - Second Edition
• Publisher: Wiley-Interscience
• Publication Date: 2006
• Language: English
• ISBN 10: 0471745030
• ISBN 13: 9780471745037
• Binding: Hardcover
• Edition: 2nd Edition
• Condition: Fine
• Seller catalogs:
  • Economics

About this title

Synopsis

A state-of-the-art introduction to the powerful mathematical and statistical tools used in the field of finance

The use of mathematical models and numerical techniques is a practice employed by a growing number of applied mathematicians working on applications in finance. Reflecting this development, Numerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition bridges the gap between financial theory and computational practice while showing readers how to utilize MATLAB?--the powerful numerical computing environment--for financial applications.

The author provides an essential foundation in finance and numerical analysis in addition to background material for students from both engineering and economics perspectives. A wide range of topics is covered, including standard numerical analysis methods, Monte Carlo methods to simulate systems affected by significant uncertainty, and optimization methods to find an optimal set of decisions.

Among this book's most outstanding features is the integration of MATLAB?, which helps students and practitioners solve relevant problems in finance, such as portfolio management and derivatives pricing. This tutorial is useful in connecting theory with practice in the application of classical numerical methods and advanced methods, while illustrating underlying algorithmic concepts in concrete terms.

Newly featured in the Second Edition:
* In-depth treatment of Monte Carlo methods with due attention paid to variance reduction strategies
* New appendix on AMPL in order to better illustrate the optimization models in Chapters 11 and 12
* New chapter on binomial and trinomial lattices
* Additional treatment of partial differential equations with two space dimensions
* Expanded treatment within the chapter on financial theory to provide a more thorough background for engineers not familiar with finance
* New coverage of advanced optimization methods and applications later in the text


Numerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition presents basic treatments and more specialized literature, and it also uses algebraic languages, such as AMPL, to connect the pencil-and-paper statement of an optimization model with its solution by a software library. Offering computational practice in both financial engineering and economics fields, this book equips practitioners with the necessary techniques to measure and manage risk.

About the Author

PAOLO BRANDIMARTE is Professor of Quantitative Methods for Finance and Logistics at Politecnico di Torino in Italy. He is the author of several publications, including five books, on the application of optimization and simulation to diverse areas such as production management, telecommunications, and finance. Dr. Brandimarte has extensive teaching experience in engineering and economics faculties, including master's and PhD-level courses.