Numerical Methods in Finance & Economics A MATLAB based Introduction - Paolo Brandimarte

This book presents 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 include: 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; and, 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.
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This book provides a fundamental introduction to numerical analysis. This book covers numerous topics including Interpolation and Polynomial Approximation, Curve Fitting, Numerical Differentiation, Numerical Integration, and Numerical Optimization. For engineering and computer science fields.

From the Inside Flap
This book provides a fundamental introduction to numerical analysis suitable for undergraduate students in mathematics, computer science, physical sciences, and engineering. It is assumed that the reader is familiar with calculus and has taken a structured programming course. The text has enough material fitted modularly for either a single-term course or a year sequence. In short, the book contains enough material so that instructors will be able to select topics appropriate to their needs.
Students of various backgrounds should find numerical methods quite interesting and useful, and this is kept in mind throughout the book. Thus, there is a wide variety of examples and problems that help to sharpen one's skill in both the theory and practice of numerical analysis. Computer calculations are presented in the form of tables and graphs whenever possible so that the resulting numerical approximations are easier to visualize and interpret. MATLAB programs are the vehicle for presenting the underlying numerical algorithms.
Emphasis is placed on understanding why numerical methods work and their limitations. This is challenging and involves a balance between theory, error analysis, and readability. An error analysis for each method is presented in a fashion that is appropriate for the method at hand, yet does not turn off the reader. A mathematical derivation for each method is given that uses elementary results and builds the student's understanding of calculus. Computer assignments using MATLAB give students an opportunity to practice their skills at scientific programming.
Shorter numerical exercises can be carried out with a pocket calculator/computer, and the longer ones can be done using MATLAB subroutinie libraries. It is left for the instructor to guide the students regarding the pedagogical use of numerical computations. Each instructor can make assignments that are appropriate to the available computing resources. Experimentation with the MATLAB subroutine libraries is encouraged. These materials can be used to assist students in the completion of the numerical analysis component of computer laboratory exercises.
In this edition a section on Bezier curves has been added to the end of the chapter on curve fitting. Additionally, the chapter on numerical optimization has been expanded to include an introduction to both direct and derivative based methods for optimizing functions of one or more variables.An instructor's solution manual for the exercise sets is available from the publisher.
Previously, we took the attitude that any software program that students mastered would work fine. However, many students entering this course have yet to master a programming language (computer science students excepted). MATLAB has become the tool of nearly all engineers and applied mathematicians, and its newest versions have improved the programming aspects. So we think that students will have an easier and more productive time in this MATLAB version of our text.

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Numerical Techniques for Chemical & Biological Engineers Using MATLAB - Elnashaie & Uhlig

All reactive chemical and biological processes are highly nonlinear allowing for multiple steady states. This book addresses the bifurcation characteristics of chemical and biological processes as the general case and treats systems with a unique steady state as special cases. It uses a system approach which is the most efficient for knowledge organization and transfer. The book develops mathematical models for many commercial processes utilizing the mass-, momentum-, and heat-balance equations coupled to the rates of the processes that take place within the boundaries of the system. The models are solved numerically through MATLAB codes with emphasis on the design and optimization of the chemical and biological industrial equipment and plants, such as single and batteries of CSTRs, porous and nonporous catalyst pellets and their effectiveness factors, tubular catalytic and noncatalytic reactors, fluidized bed catalytic reactors, coupled fluidized beds such as reactor-regenerator systems (industrial fluid catalytic cracking units), fluidized bed reformers for producing hydrogen or syngas, fermenters for fuel ethanol, simulation of the brain acetylcholine neurocycle, anaerobic digesters, co- and counter current absorption columns, and many more. The book also includes verification against industrial data. The book's CD contains nearly 100 MATLAB programs which are meant to teach the readers how to solve a variety of important chemical and biological engineering problems. The algorithms include solving transcendental and algebraic equations, with and without bifurcation; as well as initial and boundary value ordinary differential equations. Said Elnashaie is Professor of Chemical and Biological Engineering at the University of British Columbia. Frank Uhlig is Professor of Mathematics at Auburn University. Chadia Affane is a PH.D. candidate in Applied Mathematics at Auburn with a B.S.in Chemical Engineering. The active interaction of these authors has brought about this new and modern interdisciplinary book.

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Optics Learning by Computing with Examples using MATLAB - K.D. Moller


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Ordinary and Partial Differential Equation Routines in Matlab - H.J. Lee

This book provides a set of ODE/PDE integration routines in the six most widely used computer languages, enabling scientists and engineers to apply ODE/PDE analysis toward solving complex problems. It concisely reviews integration algorithms, then analyzes the widely used Runge-Kutta method. It first presents a complete code before discussing its components in detail, focusing on integration concepts such as error monitoring and control. The format allows readers to understand the basics of ODE/PDE integration, then calculate sample numerical solutions within a targeted programming language. The applications discussed can be used as templates for the development of a spectrum of new applications.
From the Back Cover
Scientists and engineers attempting to solve complex problems require efficient, effective ways of applying numerical methods to ODEs and PDEs. They need a resource that enables fast access to library routines in their choice of a programming language.
Ordinary and Partial Differential Equation Routines in C, C++, Fortran, Java, Maple, and MATLAB provides a set of ODE/PDE integration routines in the six most widely used languages in science and engineering, enabling scientists and engineers to apply ODE/PDE analysis toward solving complex problems.
This text concisely reviews integration algorithms, then analyzes the widely used Runge Kutta method It first presents a complete code before discussing its components in detail, focusing on integration concepts such as error monitoring and control.
The format allows you to understand the basics of ODE/PDE integration, then calculate sample numerical solutions within your targeted programming language. The applications discussed can be used as templates for the development of a spectrum of new applications and associated codes.