ISBN 13 : 978-0-471-74503-7

Contents : Contents
PART I. Background.
1. Motivation.
2. Financial Theory.
PART II. Numerical Methods.
3. Basics of Numerical Analysis.
4. Numerical Integration: Deterministic and Monte Carlo Methods.
5. Finite Difference Methods for Partial Differential Equations.
6. Convex Optimization.
PART III. Pricing equity options.
7. Option Pricing by Binomial and Trinomial Lattices.
8. Option Pricing by Monte Carlo Methods.
9. Option Pricing by Finite Difference Methods.
PART IV. Advanced optimization models and methods.
10. Dynamic Programming.
11. Linear Stochastic Programming Models with Recourse.
12. Non-Convex Optimization.
PART V. Appendices.
Appendix A. Introduction to MATLAB Programming.
Appendix B. Refresher on Probability theory and Statistics.
Appendix C. Introduction to AMPL.

Language : English

Series : STATISTICS IN PRACTICE

Print : 2ème

Figure(s) : Schémas

Location : Nice Library

Material : Paper

Statement : Présent

Owner : Bibliothèque