Computational Finance is becoming increasingly important in the financial industry.
It is the necessary complement to apply the theoretical models to realworld challenges. Indeed, many models used in practice involve complex mathematical problems, for which an exact or a closed-form solution is not ...
Computational Finance is becoming increasingly important in the financial industry.
It is the necessary complement to apply the theoretical models to realworld challenges. Indeed, many models used in practice involve complex mathematical problems, for which an exact or a closed-form solution is not available. Consequently, we need to rely on computational techniques and specific numerical algorithms. This book aims at combining theoretical concepts and their practical implementation.
Furthermore, the numerical solution of models is exploited both to enhance the understanding of some mathematical and statistical notions and to acquire sound programming skills in MATLAB®, which can be useful also in several other programming languages. Most of the content of this book has been taught for several years at a Master’s course in Finance to students with a relatively small background in mathematics, probability and statistics. Hence, the book contains a short description of the fundamental tools needed to address the two main fields of quantitative finance: portfolio selection and derivatives pricing. Both fields are developed here, with a particular emphasis on portfolio selection, where we include recent approaches that have appeared only in the literature. We develop the ability to place financial models in a computational setting. This supports the understanding of theoretical concepts through their practical application.
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