Numerical Methods in Finance and Economics: A MATLAB-Based Introduction (Statistics in Practice)

Book Description

A state-of-the-art introduction to the powerful mathematical and statistical tools used in the field of finance

The use of mathematical models and numerical techniques is a practice employed by a growing number of applied mathematicians working on applications in finance. Reflecting this development, Numerical Methods in Finance and Economics: A MATLAB®-Based Introduction, Second Edition bridges the gap between financial theory and computational practice while showing readers how to utilize MATLAB®—the powerful numerical computing environment—for financial applications.

The author provides an essential foundation in finance and numerical analysis in addition to background material for students from both engineering and economics perspectives. A wide range of topics is covered, including standard numerical analysis methods, Monte Carlo methods to simulate systems affected by significant uncertainty, and optimization methods to find an optimal set of decisions.

Among this book's most outstanding features is the integration of MATLAB®, which helps students and practitioners solve relevant problems in finance, such as portfolio management and derivatives pricing. This tutorial is useful in connecting theory with practice in the application of classical numerical methods and advanced methods, while illustrating underlying algorithmic concepts in concrete terms.

Newly featured in the Second Edition:

In-depth treatment of Monte Carlo methods with due attention paid to variance reduction strategies
New appendix on AMPL© in order to better illustrate the optimization models in Chapters 11 and 12
New chapter on binomial and trinomial lattices
Additional treatment of partial differential equations with two space dimensions
Expanded treatment within the chapter on financial theory to provide a more thorough background for engineers not familiar with finance
New coverage of advanced optimization methods and applications later in the text

Numerical Methods in Finance and Economics: A MATLAB®-Based Introduction, Second Edition presents basic treatments and more specialized literature, and it also uses algebraic languages, such as AMPL©, to connect the pencil-and-paper statement of an optimization model with its solution by a software library. Offering computational practice in both financial engineering and economics fields, this book equips practitioners with the necessary techniques to measure and manage risk.

Customer Reviews:

Great book for quants.......2007-09-30

This is a great book if you want to be a quant or are interested in using mathematical methods for finance purposes. There are not many good books in this field and this one is definitely one of the few good ones out there.

However, this book is not for people with little background in math.

Like it, just what I need.......2007-05-23

It has up to date information about finance and math background needed. I pretty much like it.

Misssing the new stuff, still good on the old methods.......2007-04-19

The book earns 4 stars for how it combines what has been out there for some time with Matlab functionality. What one would have appreciated though is something about all the new stuff that has evolved in the last few years (e.g. credit risk, etc.)

Numerical Methods in Finance: A MATLAB-Based Introduction

Average customer rating:

Too much introductive

Numerical Methods in Finance: A MATLAB-Based Introduction
Paolo Brandimarte
Manufacturer: Wiley-Interscience
ProductGroup: Book
Binding: Hardcover

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Similar Items:

Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability)
Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)
Business, Economics, and Finance with Matlab, GIS, and Simulation Models
Options, Futures and Other Derivatives (6th Edition)
Financial Instrument Pricing Using C++ (The Wiley Finance Series)

ASIN: 0471396869

Book Description

Balanced coverage of the methodology and theory of numerical methods in finance

Numerical Methods in Finance bridges the gap between financial theory and computational practice while helping students and practitioners exploit MATLAB for financial applications.

Paolo Brandimarte covers the basics of finance and numerical analysis and provides background material that suits the needs of students from both financial engineering and economics perspectives. Classical numerical analysis methods; optimization, including less familiar topics such as stochastic and integer programming; simulation, including low discrepancy sequences; and partial differential equations are covered in detail. Extensive illustrative examples of the application of all of these methodologies are also provided.

The text is primarily focused on MATLAB-based application, but also includes descriptions of other readily available toolboxes that are relevant to finance. Helpful appendices on the basics of MATLAB and probability theory round out this balanced coverage. Accessible for students-yet still a useful reference for practitioners-Numerical Methods in Finance offers an expert introduction to powerful tools in finance.

Download Description

This book integrates the topics of numerical methods, financial problem solving, and MATLAB programming into one balanced treatment. Its tutorial approach features MATLAB examples as a means of illustrating the concepts in practical, every day financial problems.

Customer Reviews:

Too much introductive.......2003-04-08

Since there is few books on financial application of Matlab, I would say that Mr. Brandimarte has done a good pretty good job. I liked especially the fact that the book covers many topics (bond pricing, derivatives, optimization), however, even if the title says "an introduction", it is still too much introductive and you don't get a grip on the amazing capabilities of Matlab. This book is suitable for people discovering Matlab and Finance at the same time.

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics

Average customer rating:

The Guide
Easy to understand!

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics
Ramazan Gençay , Faruk Selçuk , and Brandon Whitcher
Manufacturer: Academic Press
ProductGroup: Book
Binding: Hardcover

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An Introduction to High-Frequency Finance
Wavelet Methods for Time Series Analysis (CAMBRIDGE SERIES IN STATISTICAL/ PROBABILISTIC MATHEMATICS)
Analysis of Financial Time Series, 2nd Edition (Wiley Series in Probability and Statistics)
Inside Volatility Arbitrage : The Secrets of Skewness
The Volatility Surface: A Practitioner's Guide (Wiley Finance)

ASIN: 0122796705

Book Description

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method.

*The first book to present a unified view of filtering techniques

*Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series

*Provides easy access to a wide spectrum of parametric and non-parametric filtering methods

Customer Reviews:

The Guide.......2001-12-24

Various types of non-stationarities are common in time series data from financial markets. This requires a guide for selecting among numerous tools to deal with the non-stationarity. A unified treatment of filters like this book is a great help since it provides a fast and rigorous introduction.

Chapter 2 is on the general linear filtering theory with cleverly designed applications for illustrative purposes. "Optimum Linear Estimation" is the focus of Chapter 3 in which the Wiener Filter and the Kalman Filters among others are studied. Chapter 4 is on Discrete Wavelet Transforms and provides applications like filtering intraday seasonality in FX market and an examination of the relation between money growth and inflation. Long memory processes with seasonal components are analyzed using wavelets in Chapter 5. Denoising of economics and financial time series is the topic of Chapter 6. The decomposition of variance across different frequency bands as well as the cross-covariance between two time-series at different scales is covered in Chapter 7. Finally, Chapter 8 is on artificial neural networks in which both an introduction to the concept and some design issues with appropriate model selection criteria are provided.

Discussison of these relatively advanced topics is very simple and clear without sacrificing important details. Highly recommended.

Easy to understand!.......2001-10-27

The book is a wonderful reference in that it brings together various filtering methods. It is an excellent introduction to the topic, clearly written and easy to understand. The text does not assume a high-level math background. Further, unlike the various books which simply provide the theory but include very few or no applications at all, this book by Gencay, Selcuk, and Whitcher has many applications that help you get the right picture.

Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance

Average customer rating:

sloppy editing, little additional material over previous work
Computational finance: Tavella
The proof is in the reading!
Excellent Reference for Computational Finance
Excellent resource

Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance
Domingo Tavella
Manufacturer: Wiley
ProductGroup: Book
Binding: Hardcover

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The Complete Guide to Option Pricing Formulas
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Rubinstein On Derivatives

ASIN: 0471394475

Book Description

This book presents a cogent description of the main methodologies used in derivatives pricing. Starting with a summary of the elements of Stochastic Calculus, Quantitative Methods in Derivatives Pricing develops the fundamental tools of financial engineering, such as scenario generation, simulation for European instruments, simulation for American instruments, and finite differences in an intuitive and practical manner, with an abundance of practical examples and case studies. Intended primarily as an introductory graduate textbook in computational finance, this book will also serve as a reference for practitioners seeking basic information on alternative pricing methodologies.

Domingo Tavella is President of Octanti Associates, a consulting firm in risk management and financial systems design. He is the founder and chief editor of the Journal of Computational Finance and has pioneered the application of advanced numerical techniques in pricing and risk analysis in the financial and insurance industries. Tavella coauthored Pricing Financial Instruments: The Finite Difference Method. He holds a PhD in aeronautical engineering from Stanford University and an MBA in finance from the University of California at Berkeley.

Customer Reviews:

sloppy editing, little additional material over previous work.......2007-10-24

Slapped together and little better than his original book. The original and a few downloaded PDFs are a better value. I'm beginning to think JW&S specializes in adding slipcovers with fancy graphics and nice new clean typefaces onto stale old previous material. Like middle-aged men who suddenly start dressing bizarrely younger in an unsuitable style, the result is neither value added, becoming, or informative, not offering value.

Computational finance: Tavella.......2005-03-27

Badly written/errors/typos all over.

Reviews/praise (on back cover) are meaningless & misleading.

The proof is in the reading!.......2002-08-14

Over 100 students in Berkeley's Master's in Financial Engineering Program have so far successfully mastered state-of-the-art derivatives pricing using the material in this textbook. In "The proof of the pudding is in the eating" test, this book earns an A+.

John O'Brien, Executive Director MFE Program, U.C. Berkeley

Excellent Reference for Computational Finance.......2002-08-09

This is an excellent introduction book on computational finance. It covers Monte Carlo simulation for pricing and scenario generations and finite difference methods very well. I really like the part on Monte Carlo simulation with various variance reduction techniques such as Brownian Bridge.

The author not only presents the methodologies, but he also tells the readers their limitations. This book is also a good resource for basics of stochastic processes most commonly needed in practice. I think the book is beneficial both to practitioners and students who really wants to consider financial engineering as a career.

Excellent resource.......2002-08-06

Whether you're a practitioner or a student, this text is great. It is succinctly written, covering everything from fundamental theories then leading into practical applications. While it is not for the mentally flaccid, if your sharp enough, you'll find it very useful.

Modeling the Environment: An Introduction To System Dynamics Modeling Of Environmental Systems

Average customer rating:

Great Book for Anyone
Great interdisciplinary book on environmental modeling
Modeling the Environment

Modeling the Environment: An Introduction To System Dynamics Modeling Of Environmental Systems
Andrew Ford
Manufacturer: Island Press
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Binding: Paperback

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ASIN: 1559636017

Book Description

Modeling the Environment is the first introductory textbook for a technique of rapidly growing importance. It requires little or no mathematical background, and is appropriate for undergraduate environmental students as well as professionals new to modelling. Developed from the author's own introductory course, it is classroom-tested and represents an important contribution to the field of system dynamics.

Modeling techniques that allow managers and researchers to see in advance the consequences of actions and policies are becoming increasingly important to environmental management. The models produced are vital analytical tools that aid the policy-setting and implementation process, and help us to understand how environmental systems respond to management interventions.

Modeling the Environment is a basic introduction to one of the most widely known and used modeling techniques, system dynamics. The book is designed to build the skills of students as they progress from learning fundamental ideas to constructing models of increasing complexity. Written in a clear and comprehensible style, the book:

presents basic concepts of modeling using system dynamics
illustrates the mechanics of model construction through a range of working models
offers a rich array of exercises for students to use in applying the principles and techniques described in the text
walks students through the design and application of models of specific types of environmental systems

In addition, the book contains more than 300 figures and model illustrations, and provides a guide to an interactive website where students can use the text to "navigate" management flight simulators ? models of both real and hypothetical systems developed by the author. The book also contains appendixes that help students review the necessary math, and which provide additional concepts and exercises for further study.

Customer Reviews:

Great Book for Anyone.......2006-12-12

This is a great book for anyone who wants to gain a thorough understanding of Stella software. The book is easy to read, and the examples and case studies are well chosen.

Great interdisciplinary book on environmental modeling.......2000-05-24

A highly readable introduction to environmental modeling. What distinguishes the book from other environmental science and environmental modeling works is its interdisciplinary treatment. In particular, the models integrate the physical world and the world of human behavior. Far too many environmental models fail to close the feedbacks between human behavior and the state of the environment, instead taking waste inputs or resource use as exogenous. This book helps students learn to model human behavior (social and economic) as an integral part of the ecological system. The models and software mean the book encourages active learning, and enable students to explore important issues on their own if they choose.

Modeling the Environment.......2000-04-24

This book is easy to read and contains clear examples of how to use stella software to model the environment. The marvel here is the software, not the book. For the software timid, it might suppliment the software users guide.

An Introduction to Econophysics: Correlations and Complexity in Finance

Average customer rating:

Excellent Introduction
target audience not defined
Not bad, considering...
First in the new field
Physicists Land On Planet Economics

An Introduction to Econophysics: Correlations and Complexity in Finance
Rosario N. Mantegna , and H. Eugene Stanley
Manufacturer: Cambridge University Press
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Binding: Hardcover

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Dynamics of Markets: Econophysics and Finance
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Why Stock Markets Crash: Critical Events in Complex Financial Systems

ASIN: 0521620082

Book Description

Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling, permit an understanding of the global behavior of economic systems without first having to work out a detailed microscopic description of the system. This pioneering text explores the use of these concepts in the description of financial systems, the dynamic new specialty of econophysics. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully-developed turbulent fluids and apply them to financial time series. They also present a new stochastic model that displays several of the statistical properties observed in empirical data. Physicists will find the application of statistical physics concepts to economic systems fascinating. Economists and other financial professionals will benefit from the book's empirical analysis methods and well-formulated theoretical tools that will allow them to describe systems composed of a huge number of interacting subsystems.

Customer Reviews:

Excellent Introduction.......2004-12-01

This book is an excellent introduction to financial analitics for Physicists and also for others. Though a little out dated, but what can you expect from such a fast changing subject?
This is not the first book I have read in this subject, but it is my favorite right now. I could have saved myself a lot of trouble if this would have been the first.

Nevertheless, it should be considered as an intial reference point and not as to expect it to contain all the details. After all it only has 148 pages.

target audience not defined.......2003-09-22

I find the book rather poorly written in the aspect of providing links between statistical physics and its application in economics. As a physicist with a background in stochastic processes, I was looking for an introduction to their applications to economic analysis, complete with examples and discussion of the methods' limitations. The book was somewhat disappointing in this respect. Quite often, in many chapters, the necessary math is explained, then some aspects of how it is manefest in economical data are presented and then the chapter ends, leaving the reader wonder what the specific cases may be and if it is practical to use those methods at all. Above all, there is very little discussion as to what the results actually mean, in economical terms.
I believe the book may be helpful for reseachers active in this field but I would not recommend it as a first introduction to econophysics. For economists, the math may be rather difficult to go through as some of the fundamental concepts are not defined consistently. For physicists with no previous exposure to econophysics, I would prefer to see more economics.

Not bad, considering..........2002-08-13

The book is not bad considering the total lack of existence of intelligible literature in this supposedly vast field.

The content is really a collection of quickie crib-sheets on a sundry of topics with nominally common theme: Finance.

A lot of the actually useful stuff is the author's previously published papers on price-return distributions.

Aside from his own previously published work, he has a good tutorial on the GARCH scheme though with precious little follow up reading resources for delving in deeper (or even sideways).

This book is priced far too high given its content and depth.
Look for a used copy, and do not count on the author to answer questions by email.

First in the new field.......2002-06-05

I found several parts of this book useful while preparing lectures for an introductory econophysics course in Fall, 2001. The discussions of convolutions of distributions, Levy distributions and scaling are well-written and easy to follow. In the brief discussion of the St. Petersburg Paradox I missed a critical discussion of expected utility, which was invented by Bernoullli to 'resolve' that paradox. Spurred by von Neumann and Morgenstern, neo-classical economics relies on the idea of expected utility, which seems empirically to be wrong. The chapter on time correlations is also very readable (although Wiener processes are not 1/f^2 noise!). ARCH and GARCH methods are discussed, saving the student from the pain of reading badly-written papers by mathematically-minded economists, but the chapters on options are too brief with nothing new. The best introduction to options is still the original Black-Scholes paper (excepting their erroneous claim that CAPM and the delta-hedge strategy produce option pricing pdes that agree with each other). Also, it would have been nice to have seen a discussion of CAPM. The discussion of algorithmic complexity left me cold (see my earlier books and papers on nonlinear dynamics), and I would like to have seen a critical discussion of the EMH. These criticisms are ok, though, the gaps leave something for the rest of us to work on.

Physicists Land On Planet Economics.......2001-06-11

SINCE the last decade, physicists have been trying to cope with the issues traditionally approached by economics using their own tools and methodologies. This research has been dubbed 'econophysics'. One reason why this incursion should be welcomed is the failure of mainstream economics to recognise financial systems as complex systems. Take mainstream international finance, for instance. In the most respectable workhorse model--so-called 'new open economy macroeconomics model'--foreign exchange rates always reach some sort of stable equilibrium. To put it bluntly, this means that currencies do not exhibit complex behaviour.

However, financial markets do demonstrate several of the properties that characterise complex systems. What is more, they are highly complex, open systems in which many subunits interact nonlinearly in the presence of feedback and stable governing rules. Earlier attempts to find chaos in financial data, for instance, have been disappointing exactly because the phenomenon is likely to emerge in systems which are only moderately complex. Although it cannot be ruled out that financial markets follow chaotic dynamics, econophysics assumes that asset price dynamics are stochastic processes.

A fundamental commitment of the mainline model of international finance is to theory itself, and not to data. Modelling is devoted to equipping the discipline with an underlying rational behaviour at the individual level. Yet this is at odds with the fact that financial markets are prone to collective 'irrational exuberance'. Instead, econophysics attemps to build up stochastic models that encompass essential features observed in the financial data. Now that the time evolution of many financial markets is continually monitored, it is possible to test the accuracy and predictive power of the developed models using available data. One common objection to such a practice is that it is impossible to perform large-scale experiments in economics that could falsify any given theory. The authors note that this limitation is not specific to economics, but also affects such well developed areas of physics as astrophysics, atmospheric physics, and geophysics. By analogy with the activity in these more established areas, we are able to test and falsify any theories associated with the current available sets of financial data.

Complex systems can sometimes behave in remarkable simple ways. These are reflected in power law distributions and scaling. The authors illustrate these concepts and others, and apply them to the financial time series. The book is thus useful not only for physicists but also for economists and people in the financial world. Some familiarity with probability theory or statistical physics is required, though. Economists dissatisfied with the mainline approach of their discipline will find the book opportune. The others might end up welcoming econophysics as well. After all, economists implicitly see physics as nature's economics. What is then wrong with physicists thinking of economics as social physics?

Statistics of Financial Markets: An Introduction (Universitext)
Average customer rating:

Great intutive introduction to stochastic calculus

Great introduction to the Value at Risk measures

Statistics of Financial Markets: An Introduction (Universitext)
Jürgen Franke , Wolfgang Härdle , and Christian M. Hafner
Manufacturer: Springer
ProductGroup: Book
Binding: Paperback

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Accessories:

Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability)

Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance)

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ASIN: 3540216758

Book Description

Statistics of Financial Markets presents in a vivid yet concise style the necessary statistical and mathematical background for Financial Engineers and introduces to the main ideas in mathematical finance and financial statistics. Topics covered are, among others, option valuation, financial time series analysis, value-at-risk, copulas, and statistics of the extremes.

The underlying structure of the book, i.e. basic tools in mathematical finance, financial time series analysis and applications to given problems of financial markets, allows the book to be used as a basis for lectures, seminars and even crash courses on the topic.

A full set of transparencies can be downloaded using the registration card at the back of the book. The registration card also allows the use of the e-book version with links to world wide computing servers.

Customer Reviews:

Great intutive introduction to stochastic calculus.......2006-06-17

This book was such a relief after going through tens of books/lectures notes on stochastic calculus. Most math books give the theory behind Ito calculus (martingales, measure theory etc.), but fail to give the motivation and reasoning behind abstract definitions. This book does an excellent job in deriving many seemingly-complicated math formulas (or, theorems) using intuitive terms. It is an excellent read for people who have a reasonable background in probability theory, and are wishing to learn stochastic calculus (plus finance). I strongly recommend it to anyone who wants to learn the rudiments of Ito integral and see its applications in finance.

Great introduction to the Value at Risk measures.......2005-10-14

Got the friendly yellow paperback version. The book is in three major parts; Options, Time series and then Value at Risk.

The first section starts out well with an overview of Stochastic Processes and then moves on to Stochastic Integrals and Differential Equations. All of this is motivation to help with the pricing of Options, starting with European, then American and moving onto Exotics and Bond Options. It covers all the major points, though it is a little limited in the Exotics, it does have a good references to more thorough works.

The second section on time series works with ARIMA, ARCH and GARCH models.

The third section (labeled Selected Financial Applications) is mostly about the VAR though is has some really good commentary on the Volatility of Option Portfolios.

An added bonus is that you can download the PDF version of the book, and all the data for the examples from the web, with quite a neat one-time license.

I would recommend this book to people needing a good overview of the subjects listed above, and as a handy reference.

Large Sample Methods in Statistics: An Introduction with Applications

Average customer rating:

Large Sample Methods in Statistics: An Introduction with Applications
Pranab K. Sen , and Julio M. Singer
Manufacturer: Chapman & Hall/CRC
ProductGroup: Book
Binding: Hardcover

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ASIN: 0412042215

Book Description

This text bridges the gap between sound theoretcial developments and practical, fruitful methodology by providing solid justification for standard symptotic statistical methods. It contains a unified survey of standard large sample theory and provides access to more complex statistical models that arise in diverse practical applications.

Multiple Attribute Decision Making: An Introduction (Quantitative Applications in the Social Sciences)

Average customer rating:

A very useful summary of leading MADM methods.

Multiple Attribute Decision Making: An Introduction (Quantitative Applications in the Social Sciences)
K . Paul Yoon , and Ching-Lai Hwang
Manufacturer: Sage Publications, Inc
ProductGroup: Book
Binding: Paperback

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Multi-Criteria Decision Making Methods: A comparative Study (Applied Optimization, Volume 44) (Applied Optimization)
Multiattribute Evaluation (Quantitative Applications in the Social Sciences)
Analyzing Decision Making: Metric Conjoint Analysis (Quantitative Applications in the Social Sciences)
Multiple Criteria Decision Analysis
Preference Structure Measurement: Conjoint Analysis and Related Techniques

ASIN: 0803954867

Book Description

Multiple attribute decision making (MADM) procedures, a process for making preference decisions over the available alternatives which are characterized by multiple (usually conflicting) attributes are useful for improving decision making in a wide range of circumstances--from professional to managerial to political. Using real-world case examples, the authors introduce the reader to normative (for optimal decisions) MADM models. Beginning in chapter 2 with and introductions to the various attributes in a decision, the authors explore how MADM methods can be used for descriptive purposes to model the existing decision-making process, noncompensatory and scoring methods, accommodation of soft data, construction of a multiple decision support system, and the validity of methods. The authors also include a presentation of the advanced procedures of TOPSIS and ELECTRE. This manual offers social scientists an encapsulated view of MADM methods, their characteristics, applicability, and the methods for solving MADM problems.

Customer Reviews:

A very useful summary of leading MADM methods........1997-08-04

Yoon and Hwang have prepared, within 69 pages, a fine summary of the current MADM methods complete with step-by-step sample calculations. They present several methods which encompass the major classes of MADM models. These include the Dominance method, Maximin, Maximax, Conjunctive method, Disjunctive method, Lexicographic method, Elimination by Aspect, Simple Additive Weighting, Weighted Product, TOPSIS, ELECTRE, Median Ranking Method, and AHP. If you need a quick guide to MADM, this is it

Introduction to Time-Series Modeling and Forecasting in Business and Economics

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Introduction to Time-Series Modeling and Forecasting in Business and Economics
Patricia E. Gaynor , and Rickey C. Kirkpatrick
Manufacturer: McGraw-Hill Companies
ProductGroup: Book
Binding: Hardcover

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