This is the Chinese edition of the original book published by Wiley in 2006. The book deals with numerical methods relevant for financial applications, such as portfolio optimization and derivative pricing. After introductory chapters on financial markets and instruments, also covering models based on stochastic differential equations and risk measurement issues, and on numerical methods, we move on to describe the most important tools, such as: 1) numerical integration by Monte Carlo sampling and low-discrepancy sequences (with due emphasis on variance reduction strategies); 2) finite difference methods for partial differential equations; 3) optimization methods. These methods are illustrated, along with MATLAB code, in later chapters describing several applications to option pricing and portfolio optimization. We deal in particular with binomial/trinomial lattices, exotic option pricing by Monte Carlo simulation, finite difference methods for option pricing, portfolio optimization by mixed-integer and stochastic linear programming, and numerical dynamic programming, which is also the foundation of recent methods to price high-dimensional, American-style options.

Numerical methods in finance and economics: A MATLAB-based introduction (Chinese edition) / Brandimarte, Paolo. - STAMPA. - (2017).

### Numerical methods in finance and economics: A MATLAB-based introduction (Chinese edition)

#### Abstract

This is the Chinese edition of the original book published by Wiley in 2006. The book deals with numerical methods relevant for financial applications, such as portfolio optimization and derivative pricing. After introductory chapters on financial markets and instruments, also covering models based on stochastic differential equations and risk measurement issues, and on numerical methods, we move on to describe the most important tools, such as: 1) numerical integration by Monte Carlo sampling and low-discrepancy sequences (with due emphasis on variance reduction strategies); 2) finite difference methods for partial differential equations; 3) optimization methods. These methods are illustrated, along with MATLAB code, in later chapters describing several applications to option pricing and portfolio optimization. We deal in particular with binomial/trinomial lattices, exotic option pricing by Monte Carlo simulation, finite difference methods for option pricing, portfolio optimization by mixed-integer and stochastic linear programming, and numerical dynamic programming, which is also the foundation of recent methods to price high-dimensional, American-style options.
##### Scheda breve Scheda completa Scheda completa (DC)
2017
978-7-111-53919-3
File in questo prodotto:
Non ci sono file associati a questo prodotto.
##### Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: `https://hdl.handle.net/11583/2695665`
##### Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo