Numerical methods in finance: Pricing options with MATLAB - Softcover

Calore, Sandro

 
9783639495720: Numerical methods in finance: Pricing options with MATLAB

Synopsis

In this book one- and two-dimensional option prices are computed with the help of two different techniques: one using randomness, the Monte Carlo method and the other based on solving PDEs with finite difference methods. The use of the computer is in this case fundamental, because an important computing power is needed for both methods. The two techniques are implemented with MATLAB and applied to different kinds of options.

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About the Author

Born in 1987, he studied Mathematics at the University of Zürich, getting the Master of Science in 2013.

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