From the Preface to the First Edition.

PART I. BACKGROUND.

1. Motivation.

2. Financial Theory.

PART II. NUMERICAL METHODS.

3. Basics of Numerical Analysis.

4. Numerical Integration: Deterministic and Monte Carlo Methods.

5. Finite Difference Methods for Partial Differential Equations.

6. Convex Optimization.

PART III. PRICING EQUITY OPTIONS.

7. Option Pricing by Binomial and Trinomial Lattices.

8. Option Pricing by Monte Carlo Methods.

9. Option Pricing by Finite Difference Methods.

PART IV. ADVANCED OPTMIZATION 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.

Index.