Métodos Numéricos em Finanças (2 º Sem 2014/2015)

EMF (Economia Monetária e Financeira) , MF (Mathematical Finance)

Bibliografia

Principal

  • Willmot, P., Dewynne, J. & Howison, S. , Option Pricing - Mathematical models and computation , Oxford Financial Press, 1993 (last reprint 1998).
  • Tavella, Domingo & Randall, Kurt, Pricing Financial Instruments: The Finite Difference Method , Wiley, 2000.
  • Duffy, Daniel J., Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach, Wiley, 2006.

Secundária

  • Glasserman, Paul Monte Carlo, Methods in Financial Engineering- Stochastic Modelling and Applied Probability , Springer, 2003.
  • Sevcovic, Daniel, Stehlikova, Beata & Mikula, Karol, Analytical and Numerical Methods for Pricing Financial Derivatives, Nova Science, 2011.
  • Achdou, Yves & Pironneau, Olivier, Computational Methods for Option Pricing, SIAM, 2005.