Numerical Methods in Finance and Economics

DOI10.1002/0470080493MaRDI QIDQ3408356zbMATH OpenOpenAlexFDO

Authors Paolo Brandimarte

Publication date 31 October 2006

Full work available at URL https://doi.org/10.1002/0470080493

zbMATH Keywords

economicsfinanceMATLABnumerical methodsoptimization

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis (65-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(28)

• Canonical least-squares Monte Carlo valuation of American options: convergence and empirical pricing analysis
• Numerical probability. An introduction with applications to finance
• Invariance of Poisson measures under random transformations
• Solution of the fractional Black-Scholes option pricing model by finite difference method
• Optimal feedback control of stock prices under credit risk dynamics
• Wavelet-optimized compact finite difference method for convection-diffusion equations
• Pricing American options using a nonparametric entropy approach
• Dynamic optimization models in finance: some extensions to the framework, models, and computation
• Implementing models in quantitative finance: methods and cases
• Multiplicative noise, fast convolution and pricing
• Resolution of degeneracy in Merton's portfolio problem
• Numerical methods and optimization in finance
• Monte Carlo computation of the Laplace transform of exponential Brownian functionals
• A parametric approach for solving a class of generalized quadratic-transformable rank-two nonconvex programs
• PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES
• scientific article; zbMATH DE number 1849076 (Why is no real title available?)
• scientific article; zbMATH DE number 1873658 (Why is no real title available?)
• Business Economics and Finance with MATLAB, GIS, and Simulation Models
• Financial derivative and energy market valuation. Theory and implementation in MATLAB
• On relation between one multiple and a corresponding one-dimensional integral with applications
• Application of power series approximation techniques to valuation of European style options
• Symmetries and exact solutions of a nonlinear pricing options equation
• Measuring the effectiveness of static hedging strategies for a guaranteed minimum income benefit
• The topology of central counterparty clearing networks and network stability
• Numerical methods in finance with C++.
• Suboptimality of Gauss–Hermite Quadrature and Optimality of the Trapezoidal Rule for Functions with Finite Smoothness
• Swing option-implied volatility
• Numerical methods for Lévy processes

Describes a project that uses

Uses Software

• Matlab
• AMPL

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