Tools for computational finance (Q5901423): Difference between revisions

The referred volume is the fourth edition of a known surwey of mathematical methods and models of optimal behavior in the financial engineering problems. It is divided in six main chapters. After the first one, summarizing the mathematical tools, the following chapters deal with the mathematics of randomness, Monte Carlo methods, standard optimization methods, finite element methods, and with the pricing of exotic optimization procedures. The formal structure of particular chapters is typical for advanced textbooks, and each chapter is concluded with explanatory comments and exercises. The presented methods are mathematical, nevertheless, the mathematically most advanced concepts and methods are treated separately in four appendices. The volume is concluded by a representative list of references, index and list of notations which simplify the study of the presented text.