Métodos Numéricos em Finanças (2 º Sem 2018/2019)

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.

Secundária

• Glasserman, Paul Monte Carlo, Methods in Financial Engineering- Stochastic Modelling and Applied Probability , Springer, 2003.