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Numerical Methods and Optimization in Finance by Enrico Schumann, Dietmar Maringer, Manfred Gilli

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Chapter One

Introduction

Publisher Summary

This chapter presents an introduction to this book. The book is structured into three parts. The first part, “Fundamentals,” begins with an introduction to numerical analysis, so one discusses computer arithmetic, approximation errors, how to solve linear equations, how to approximate derivatives, and other topics. The second part, “Simulation,” starts with chapters on how to generate random numbers and how to model dependence. There is also a short example of how to implement an agent-based model. By means of several case studies, applications will illustrate how these models can be used for generating more realistic price processes and how simulation can help to develop an intuitive understanding of ...

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