Numerical Methods in Finance and Economics

A MATLAB-Based Introduction

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Author: Paolo Brandimarte

Publisher: John Wiley & Sons

ISBN: 1118625579

Category: Mathematics

Page: 696

View: 6572

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.

Numerical Analysis and Graphic Visualization with MATLAB

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Author: Shoichiro Nakamura

Publisher: Prentice Hall

ISBN: 9780130654892

Category: Computers

Page: 519

View: 5575

PREFACE WHAT THIS BOOK DESCRIBES This book is intended to introduce numerical analysis and graphic visualization using MATLAB to college students majoring in engineering and science.It can also be a handbook of MATLAB applications for professional engi-neers and scientists. The goal is not to teach the mathematics of numericalanalysis, but rather to teach the knowledge and skills of solving equationsand presenting them graphically so that readers can easily handle equationsand results of the computations. With its unique and fascinating capabilities, MATLAB has changed theconcept of programming for numerical and mathematical analyses. Therefore, MATLAB is a superb vehicle to achieve our goal. This book fullyimplements the mathematical and graphic tools in the most recent versionof MATLAB. The following four fundamental elements are integrated in this book: (1)programming in MATLAB, (2) mathematical basics of numerical analysis,(3) application of numerical methods to engineering, scientific, and mathematical problems, and (4) scientific graphics with MATLAB. The first two chapters are comprehensive tutorials of MATLAB commands and graphic tools, particularly for the beginner or entry-level collegestudent. Indeed, these two chapters have been most significantly enhancedin this edition compared to the first edition. In Chapter 1, understandingand developing programming skills on MATLAB are emphasized particularlybecause, unless the reader has knowledge and experience with another pro-gramming language, these are tough hurdles for the beginner to overcome.To acquire the knowledge and skills necessary to read the rest of the book,solving the problems at the end of each chapter is very important. Chapter 2 starts out with the elements of graphics on MATLAB, whichis easy to follow. Yet, toward the end of the chapter, three-dimensionalgraphics on the professional level are achieved. Not only is the programmingtechnique of plotting functions mentioned, but also skills of presenting mathematical and scientific material using graphics are developed throughout thechapter. The graphics knowledge acquired in this chapter are foundationsin learning and applying the numerical methods described in the remainderof the book. Again, practice on the computer is important. Some studentstry to memorize scripts without understanding why and how they work,but such an effort is utterly meaningless. More important is to play with afew new commands, understand how they work and how they may fail, andfinally become a master of the commands. Chapters 3 through 11 cover numerical methods and their implementations with MATLAB. All the numerical methods described are illustratedwith applications on MATLAB. Appendices describe special topics, including advanced three-dimensional graphics with colors, motion pictures, imageprocessing, and graphical user interface. Readers should feel free to use thescripts in this book in any way desired. However, the beginning studentsare advised not to u se these scripts blindly. The students should write theirown scripts. Using the lists of the scripts and function, readers can run most examples and figures on their own computers. The m-files of the scripts can bedownloaded as mentioned later. WHAT IS UNIQUE ABOUT MATLAB? MATLAB may be regarded as a programming language like Fortran or C,although describing it in a few words is difficult. Some of its outstandingfeatures for numerical analyses, however, are: Significantly simpler programming Continuity among integer, real, and complex values Extended range of numbers and their accuracy A comprehensive mathematical library Extensive graphic tools including graphic user interface functions Capability of linking with traditional programming languages Transportability of MATLAB programs An extraordinary feature of MATLAB is that there is no distinction amongreal, complex, and integer numbers. All numbers are in double precision. InMATLAB, all kinds of numbers are continuously connected, as they should be. It means that in MATLAB, any variable can take any type of numberwithout special declaration in programming. This makes programming fasterand more productive. In Fortran, a different subroutine is necessary for eachsingle, double, real or complex, or integer variable, while in MATLAB thereis no need to separate them. The mathematical library in MATLAB makes mathematical analyseseasy. Yet the user can develop additional mathematical routines significantlymore easily than in other programming languages because of the continuitybetween real and complex variables. Among numerous mathematical functions, linear algebra solvers play central roles. Indeed, the whole MATLABsystem is founded upon linear algebra solvers. IMPORTANCE OF GRAPHICS Graphic presentation of mathematical analysis helps the reader to under-stand mathematics and makes it enjoyable. Although this advantage hasbeen well known, presenting computed results with computer graphics wasnot without substantial extra effort in the past. With MATLAB, however,graphic presentations of mathematical material is possible with just a fewcommands. Scientific and even artistic graphic objects can be created on thescreen using mathematical expressions. It has been found that MATLABgraphics motivate and excite students to learn mathematical and numericalmethods that could otherwise be dull. MATLAB graphics are easy and great fun for readers. This book alsoillustrates image processing and production of motion pictures for scientific computing as well as for artistic or hobby material. WILL MATLAB ELIMINATE THE NEED FOR FORTRAN OR C? The answer is no. Fortran and C are still important for high-performancecomputing that requires a large memory or long computing time. The speedof MATLAB computation is significantly slower than that with Fortran orC because MATLAB is paying the high price for the nice features. Learn-ing Fortran or C, however, is not a prerequisite for understanding MATLAB. REFERENCE BOOKS THAT ARE HELPFUL TO LEARN MATLAB This book explains many MATLAB commands but is not intended to be acomplete guide to MATLAB. Readers interested in further information onMATLAB are advised to read User's Guide and Reference Guide. Also, youshould know that over 400 books for use with MATLAB, Simulink, Tool-boxes, and Blocksets have been written. See http://www.mathworks.com/support/books WEB SITE FOR READERS OF THIS BOOK A Web site for readers of this book has been opened at http://olen.eng.ohio-state.ed/matlab This Web site includes additional examples, hints, and color graphics thatcannot be printed in the book. If there are corrections to the text material,they will appear on this Web site. Links to other relevant sites are alsoprovided. HOW TO OBTAIN M-FILES PACKAGE The m-files package that includes all the scripts and functions developed inthe present book are available from the download site of the publisher, whichcan be accessed via the Web site in the foregoing paragraph. The packageincludes the following files: All m-files listed at the end of chapters. All scripts illustrated in the book (except short ones). Scripts to plot typical figures in the book. SOLUTION KEYS Solution keys for the problems for each chapter are available at the end ofthis book. Further help may also be available at the Web site for the readers. HOW TO OBTAIN MORE INFORMATION ABOUT MATLAB The best way to start collecting more information about MATLAB is to visitthe Web site of MATHWORKS athttp://www.mathworks.com For other communication with MathWorks, their address is: The MathWorks, Inc., 3 Apple Hill Drive, Natick ,MA 01760-2098, United StatesPhone: 508-647-7000, Fax: 508-647-7001. LIST OF REVIEWERS The first edition of this book was reviewed by: Professor T. Aldemir, Nuclear Engineering, The Ohio State University, Columbus, Ohio Professor M. Darwish, Mechanical Engineering Department, American University of Beirut, Beirut, Lebanon The MathWorks Inc., Natick, Massacusetts Professor J.K. Shultis, Nuclear Engineering, Kansas State University, Manhattan, Kansas Professor S.V. Sreenivasan, Department of Mechanical Engineering, University of Texas, Austin, Texas

Numerical Methods for Finance

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Author: John Miller,David Edelman,John Appleby

Publisher: CRC Press

ISBN: 9781584889267

Category: Mathematics

Page: 312

View: 5992

Featuring international contributors from both industry and academia, Numerical Methods for Finance explores new and relevant numerical methods for the solution of practical problems in finance. It is one of the few books entirely devoted to numerical methods as applied to the financial field. Presenting state-of-the-art methods in this area, the book first discusses the coherent risk measures theory and how it applies to practical risk management. It then proposes a new method for pricing high-dimensional American options, followed by a description of the negative inter-risk diversification effects between credit and market risk. After evaluating counterparty risk for interest rate payoffs, the text considers strategies and issues concerning defined contribution pension plans and participating life insurance contracts. It also develops a computationally efficient swaption pricing technology, extracts the underlying asset price distribution implied by option prices, and proposes a hybrid GARCH model as well as a new affine point process framework. In addition, the book examines performance-dependent options, variance reduction, Value at Risk (VaR), the differential evolution optimizer, and put-call-futures parity arbitrage opportunities. Sponsored by DEPFA Bank, IDA Ireland, and Pioneer Investments, this concise and well-illustrated book equips practitioners with the necessary information to make important financial decisions.

Computational Partial Differential Equations

Numerical Methods and Diffpack Programming

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Author: Hans Petter Langtangen

Publisher: Springer Science & Business Media

ISBN: 9783540434160

Category: Computers

Page: 862

View: 8645

This text teaches finite element methods and basic finite difference methods from a computational point of view. It emphasizes developing flexible computer programs using the numerical library Diffpack, which is detailed for problems including model equations in applied mathematics, heat transfer, elasticity, and viscous fluid flow. This edition offers new applications and projects, and all program examples are available on the Internet.

Advances in Dynamic Games

Theory, Applications, and Numerical Methods for Differential and Stochastic Games

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Author: Pierre Cardaliaguet,Ross Cressman

Publisher: Springer Science & Business Media

ISBN: 0817683542

Category: Mathematics

Page: 421

View: 8918

This book focuses on various aspects of dynamic game theory, presenting state-of-the-art research and serving as a testament to the vitality and growth of the field of dynamic games and their applications. Its contributions, written by experts in their respective disciplines, are outgrowths of presentations originally given at the 14th International Symposium of Dynamic Games and Applications held in Banff. Advances in Dynamic Games covers a variety of topics, ranging from evolutionary games, theoretical developments in game theory and algorithmic methods to applications, examples, and analysis in fields as varied as mathematical biology, environmental management, finance and economics, engineering, guidance and control, and social interaction. Featured throughout are valuable tools and resources for researchers, practitioners, and graduate students interested in dynamic games and their applications to mathematics, engineering, economics, and management science.​

Non-commutative Analysis

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Author: Jorgensen Palle,Tian Feng

Publisher: World Scientific

ISBN: 9813202149

Category: Mathematics

Page: 564

View: 2265

The book features new directions in analysis, with an emphasis on Hilbert space, mathematical physics, and stochastic processes. We interpret "non-commutative analysis" broadly to include representations of non-Abelian groups, and non-Abelian algebras; emphasis on Lie groups and operator algebras (C* algebras and von Neumann algebras.) A second theme is commutative and non-commutative harmonic analysis, spectral theory, operator theory and their applications. The list of topics includes shift invariant spaces, group action in differential geometry, and frame theory (over-complete bases) and their applications to engineering (signal processing and multiplexing), projective multi-resolutions, and free probability algebras. The book serves as an accessible introduction, offering a timeless presentation, attractive and accessible to students, both in mathematics and in neighboring fields.

Scientific, Medical, and Technical Books Published in the United States of America, 1930-1944

A Selected List of Titles in Print, with Annotations

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Author: Reginald Robert Hawkins,National Research Council (U.S.). Committee on American Scientific and Technical Bibliography

Publisher: Washington : [s.n.]

ISBN: N.A

Category: Bibliography

Page: 1114

View: 1704

Numerical Methods for Chemical Engineers Using Excel, VBA, and MATLAB

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Author: Victor J. Law

Publisher: CRC Press

ISBN: 1466575344

Category: Mathematics

Page: 247

View: 3386

While teaching the Numerical Methods for Engineers course over the last 15 years, the author found a need for a new textbook, one that was less elementary, provided applications and problems better suited for chemical engineers, and contained instruction in Visual Basic® for Applications (VBA). This led to six years of developing teaching notes that have been enhanced to create the current textbook, Numerical Methods for Chemical Engineers Using Excel®, VBA, and MATLAB®. Focusing on Excel gives the advantage of it being generally available, since it is present on every computer—PC and Mac—that has Microsoft Office installed. The VBA programming environment comes with Excel and greatly enhances the capabilities of Excel spreadsheets. While there is no perfect programming system, teaching this combination offers knowledge in a widely available program that is commonly used (Excel) as well as a popular academic software package (MATLAB). Chapters cover nonlinear equations, Visual Basic, linear algebra, ordinary differential equations, regression analysis, partial differential equations, and mathematical programming methods. Each chapter contains examples that show in detail how a particular numerical method or programming methodology can be implemented in Excel and/or VBA (or MATLAB in chapter 10). Most of the examples and problems presented in the text are related to chemical and biomolecular engineering and cover a broad range of application areas including thermodynamics, fluid flow, heat transfer, mass transfer, reaction kinetics, reactor design, process design, and process control. The chapters feature "Did You Know" boxes, used to remind readers of Excel features. They also contain end-of-chapter exercises, with solutions provided.

Mathematical Analysis

A Concise Introduction

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Author: Bernd S. W. Schröder

Publisher: John Wiley & Sons

ISBN: 9780470226766

Category: Mathematics

Page: 584

View: 1241

A self-contained introduction to the fundamentals of mathematical analysis Mathematical Analysis: A Concise Introduction presents the foundations of analysis and illustrates its role in mathematics. By focusing on the essentials, reinforcing learning through exercises, and featuring a unique "learn by doing" approach, the book develops the reader's proof writing skills and establishes fundamental comprehension of analysis that is essential for further exploration of pure and applied mathematics. This book is directly applicable to areas such as differential equations, probability theory, numerical analysis, differential geometry, and functional analysis. Mathematical Analysis is composed of three parts: ?Part One presents the analysis of functions of one variable, including sequences, continuity, differentiation, Riemann integration, series, and the Lebesgue integral. A detailed explanation of proof writing is provided with specific attention devoted to standard proof techniques. To facilitate an efficient transition to more abstract settings, the results for single variable functions are proved using methods that translate to metric spaces. ?Part Two explores the more abstract counterparts of the concepts outlined earlier in the text. The reader is introduced to the fundamental spaces of analysis, including Lp spaces, and the book successfully details how appropriate definitions of integration, continuity, and differentiation lead to a powerful and widely applicable foundation for further study of applied mathematics. The interrelation between measure theory, topology, and differentiation is then examined in the proof of the Multidimensional Substitution Formula. Further areas of coverage in this section include manifolds, Stokes' Theorem, Hilbert spaces, the convergence of Fourier series, and Riesz' Representation Theorem. ?Part Three provides an overview of the motivations for analysis as well as its applications in various subjects. A special focus on ordinary and partial differential equations presents some theoretical and practical challenges that exist in these areas. Topical coverage includes Navier-Stokes equations and the finite element method. Mathematical Analysis: A Concise Introduction includes an extensive index and over 900 exercises ranging in level of difficulty, from conceptual questions and adaptations of proofs to proofs with and without hints. These opportunities for reinforcement, along with the overall concise and well-organized treatment of analysis, make this book essential for readers in upper-undergraduate or beginning graduate mathematics courses who would like to build a solid foundation in analysis for further work in all analysis-based branches of mathematics.