4 of 5 people found the following review helpful
First totally Matlab based guide to financial modelling,
This review is from: Numerical Methods in Finance: A MATLAB-based Introduction (Wiley Series in Probability and Statistics) (Hardcover)This book present in a clearly organized way how numerical methods can be applied in finance. After an exhaustive tour of traditional numerical methohds in solving linear and non linear system of equation, it provided a self contained exposition on:
The first part is mainly applied to portofolio selection theory, whereas 2) and 3), after being carefully reviewed in their theoretical foundation, are applied in pricing financial derivatives..I particularly liked the part on quasi montecarlo methods, which is then applied to some exotic kind options. The exposition is clear and motivating; Matlab code is reported after all relevant topics, and is freely downloadable at the author's web site. Overall, I highly rate this book, but I don't give 5 stars only because the author hasn't include any example on interest rate derivatives modelling. Finite difference schemes and MC and QMC are applied exclusively to equity options.Anyway, a little background in programming is required, even if a little part on programming skills is included in the appendix.
Numerical Methods in Finance: A MATLAB-based Introduction (Wiley Series in Probability and Statistics)(1 customer review)
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