Contents
Part I Background1 Motivation
2 Financial Theory
Part 11 Numerical Methods3 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