Numerical Methods in Finance

PAOLO BRANDIMARTE is Professor of Quantitative Methods for Finance and Logistics at Politecnico di Torino in Italy.

Preface. PART I: BACKGROUND. Financial Problems and Numerical Methods. PART II: NUMERICAL METHODS. Basics of Numerical Analysis. Optimization Methods. Principles of Monte Carlo Simulation. Finite Difference Methods for Partial Differential Equations. PART III: APPLICATIONS TO FINANCE. Optimization Models for Portfolio Management. Option Valuation by Monte Carlo Simulation. Option Valuation by Finite Difference Methods. PART IV: APPENDICES. Appendix A: Introduction to MATLAB Programming. Appendix B: Refresher of Probability Theory. Index.