Textbook

Numerical Methods in Finance and Economics: A MATLAB-Based Introduction, 2nd Edition

ISBN: 978-0-471-74503-7

Hardcover

696 pages

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Numerical Methods in Finance and Economics: A MATLAB-Based Introduction, 2nd Edition (0471745030) cover image

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The text is primarily focused on MATLAB-based application, but it also includes descriptions of other readily available toolboxes to finance.
Helpful appendices on the basics of MATLAB and probability and statistics theory (now greatly enhanced) round out the balanced coverage.
In the new edition, techniques and applications have now been integrated throughout the book rather than presented in a layered fashion.
There is now more discussion of economics, optimization, and MATLAB code.
There are three new chapters on Asian options, pricing American options by Monte Carlo simulation, and (on an optional basis) numerical dynamic programming. There is added coverage of interest-rate derivatives.
Extensive enhancements have been made in the new edition to topics such as partial differential equations, multi-asset options, and binomial and trinomial lattices.