Computational Finance: MATLAB Oriented Modeling

Computational Finance: MATLAB Oriented Modeling combines theoretical concepts with practical implementation. The numerical solution of models is exploited, both to enhance the understanding of some mathematical and statistical notions, and to acquire sound programming skills in MATLAB. The material assumes the reader has a relatively limited knowledge of mathematics, probability, and statistics. The book contains a short description of the fundamental tools needed to address the two main fields of quantitative finance: portfolio selection and derivatives pricing. Both fields are developed here, with a particular emphasis on portfolio selection, where the author includes an overview of recent approaches.

The book gradually takes the reader from a basic- to medium-level of expertise by using examples and exercises to simplify the understanding of complex models in finance, giving them the ability to place financial models in a computational setting. The book is ideal for courses focusing on quantitative finance, asset management, mathematical methods for economics and finance, investment banking, and corporate finance.

MATLAB is used throughout the book, and the book also uses functions from Optimization Toolbox. The MATLAB solutions for the book are also available for download.