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strimp099
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Numerical Methods in Finance and Economics by Paolo Brandimarte

June 11th, 2010, 1:21 am

Anyone gone through this book? Is it a good primer to MATLAB? What level, intermediate, advanced?
 
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Hansi
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Numerical Methods in Finance and Economics by Paolo Brandimarte

June 11th, 2010, 8:52 am

I flipped through it when I was teaching Matlab 3 years ago. The book is pretty good and goes from beginner level to advanced although not all the way to Matlab "mastery". I wound up creating my own teaching material though because the book wasn't exactly applicable to the stuff I was teaching. But good book anyway.You can preview it here
Last edited by Hansi on June 10th, 2010, 10:00 pm, edited 1 time in total.
 
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capafan2
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Numerical Methods in Finance and Economics by Paolo Brandimarte

June 11th, 2010, 4:11 pm

QuoteOriginally posted by: strimp099Anyone gone through this book? Is it a good primer to MATLAB? What level, intermediate, advanced? have it and found quite useful. However you do need the financial toolbox to try out various examples in this book.
 
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abginfl
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Numerical Methods in Finance and Economics by Paolo Brandimarte

June 11th, 2010, 8:26 pm

It's interesting that for the most computationally intensive examples in that textbook, Chapter 11 on Stochastic Programming, the author chooses not to use MATLAB at all, but instead uses AMPL. Modeling languages can be much easier to use than imperative programming languages for expressing large scale optimization problems...due to the bit of computer algebra taking place under the hood before they actually call the solvers. There are a couple of modeling languages available as third party add-ins to Matlab (i.e. TomSym from TOMLAB and CVX from Stanford), but it is surprising that Mathworks doesn't have anything in this domain themselves.