The theoretical aspects of the book are based on an essential introduction to the building blocks of the two topics under consideration: mathematical programming and stochastic processes. It also includes a primer on MATLAB, as a tool to help students, scholars and practitioners use the concepts in the book.
The theoretical aspects of the book are based on an essential introduction to the building blocks of the two topics under consideration: mathematical programming and stochastic processes. It also includes a primer on MATLAB, as a tool to help students, scholars and practitioners use the concepts in the book.
Francesco Cesarone is an Assistant Professor of Computational Finance at the Department of Business Studies of the Roma Tre University, Italy.
Inhaltsangabe
Part I: Programming techniques for financial calculus 1. An introduction to MATLAB with applications Part II: Portfolio Selection 2. Preliminary elements in Probability Theory and Statistics 3. Linear and Non-linear Programming 4. Portfolio Optimization Part III: Derivatives pricing 5. Further elements on Probability Theory and Statistics 6. Pricing of derivatives with an underlying security
Part I: Programming techniques for financial calculus 1. An introduction to MATLAB with applications Part II: Portfolio Selection 2. Preliminary elements in Probability Theory and Statistics 3. Linear and Non-linear Programming 4. Portfolio Optimization Part III: Derivatives pricing 5. Further elements on Probability Theory and Statistics 6. Pricing of derivatives with an underlying security
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