书名：Numerical Methods in Finance and Economics

A MATLAB-Based Introduction

作者：Paolo Brandimarte

Politecnico di Torino

Torino, Italy

版本：第二版（2006版）

出版社：A JOHN WILEY & SONS, INC., PUBLICATION （这个出版社我就不说了）

作者在该领域享有盛誉，这本书也是及其经典的一本基于MATLAB的数值分析教材，书中附有MATLAB代码，个人看后觉得受益匪浅。

Contents

Part I Background

1 Motivation

2 Financial Theory

Part 11 Numerical Methods

3 Basics of Numerical Analysis

4 Numerical Integration: Deterministic and Monte Carlo Methods

5 Finite Diflerence Methods for Partial Digerential Equations

6 Convex Optimization

Part 111 Pricing Equity Options

7 Option Pricing by Binomial and Thnomial Lattices

8 Option Pricing by Monte Carlo Methods

9 Option Pricing by Finite Diflerence Methods

Part I V Advanced Optimization Models and Methods

10 Dynamic Programming

11 Linear Stochastic Programming Models with Recourse

12 Non- Convex Optimization

Part V Appendices

Appendix A Introduction to MATLAB Programming

Appendix B Refresher on Probability Theory and Statistics

Appendix C Introduction to AMPL