Numerical Methods in Finance and Economics: A MATLAB-Based Introduction, 2/e (Hardcover)
暫譯: 金融與經濟中的數值方法：基於 MATLAB 的入門，第2版 (精裝本)
Paolo Brandimarte
- 出版商: Wiley
- 出版日期: 2006-11-01
- 售價: $1,705
- 語言: 英文
- 頁數: 696
- 裝訂: Hardcover
- ISBN: 0471745030
- ISBN-13: 9780471745037
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相關分類:
Matlab、經濟學 Economy
已絕版
商品描述
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.
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.
商品描述(中文翻譯)
最先進的金融數學與統計工具介紹
數學模型和數值技術的使用是越來越多應用數學家在金融應用中採用的做法。反映這一發展的《金融與經濟中的數值方法：基於 MATLAB? 的入門（第二版）》彌合了金融理論與計算實踐之間的鴻溝，同時向讀者展示如何利用 MATLAB?——這個強大的數值計算環境——進行金融應用。
作者提供了金融和數值分析的基本基礎，並為來自工程和經濟學背景的學生提供了背景材料。涵蓋的主題範圍廣泛，包括標準數值分析方法、用於模擬受重大不確定性影響的系統的蒙地卡羅方法，以及尋找最佳決策集的優化方法。
本書最突出的特點之一是整合了 MATLAB?，這幫助學生和從業者解決金融中的相關問題，例如投資組合管理和衍生品定價。這本教程在應用經典數值方法和先進方法的過程中，有助於將理論與實踐相連接，同時以具體的方式說明基礎算法概念。
第二版中新增加的內容：
* 對蒙地卡羅方法進行深入處理，並適當關注方差減少策略
* 新增附錄 AMPL，以更好地說明第 11 和第 12 章中的優化模型
* 新增二項和三項格的章節
* 對具有兩個空間維度的偏微分方程進行額外處理
* 在金融理論章節中擴展處理，以為不熟悉金融的工程師提供更全面的背景
* 在文本後面新增對先進優化方法和應用的介紹
《金融與經濟中的數值方法：基於 MATLAB? 的入門（第二版）》提供了基本處理和更專業的文獻，並使用代數語言，如 AMPL，將優化模型的紙筆陳述與其通過軟體庫的解決方案相連接。這本書在金融工程和經濟學領域提供計算實踐，為從業者提供必要的技術來衡量和管理風險。
