Paolo
Brandimarte |

Full
Professor - Quantitative methods in finance and logistics |

Politecnico di Torino

Corso Duca degli Abruzzi 24

10129 Torino, ITALY

Contact information:

Tel. +39-011-0907532

Fax +39-011-0907599

email: paolo.brandimarte AT polito.it

This is the home page of various books I have published over the years,
as author, coauthor or coeditor (some in Italian).

The page is work in progress, so please check for updates.

Things you can do:

- Order the book from Amazon.com here
- Order the book from Wiley here
- Download the table of contents and preface (pdf file)
- Download the R code archive (zip file)

Paolo Brandimarte |

Things you can do:

- Order the book from Amazon.com here
- Order the book from Wiley here
- Download the table of contents (pdf file)
- Download the list of errata (pdf file)
- Download the PROVISIONAL solution manual (UPDATED June 10th, 2014) (pdf file)

Paolo Brandimarte, Giulio Zotteri |

Things you can do:

- Order the book from Amazon.com here
- Order the book from Wiley here
- Download the list of errata (pdf file)

Paolo Brandimarte |

Things you can do:

- Order the book from Amazon.com here
- Order the book from Wiley here
- Download the table of contents (pdf file)
- Download a zipped archive containing the source code for the MATLAB programs listed in the book
- Download the list of errata (pdf file)

Book reviews (pdf files):

- The Mathematical Association of America (MAA) Reviews
- INFORMS Interfaces
- Journal of the Operational Research Society
- Journal of the American Statistical Association

Paolo Brandimarte, Giulio Zotteri |

Paolo Brandimarte |

Things you can do:

- Order the book from Amazon.com here
- Order the book from Wiley here
- Download the table of contents (pdf file)
- Download a zipped archive containing the source code for the MATLAB programs listed in the book

The following is a list of available supplements to be used in conjunction with the book. They include a list of errata and a set of additional examples. For each supplement a PDF file is provided and, possibly, a set of m-files including the relevant MATLAB code.

Supplement description | Downloadable files |
---|---|

List of errata (this update: August 14th, 2002) | Errata-v4.PDF |

An additional note on importance sampling: this is (hopefully) an improvement over the explanation given on page 230 of the book. Posted: January 2, 2002. | ImpSamp.PDF |

A counter-example to antithetic sampling: pricing an option with a non-monotonic payoff. Posted: January 3, 2002. | AntSamp.PDF
MCButterfly.m MCAVButterfly.m |

A short note on approximate dynamic programming and pricing American-style options
by Monte Carlo simulation. Posted: August 29, 2002.
(ExampleLS.m replicates example 1 of the original paper by Longstaff and Schwartz) |
AmericanMC.pdf
LongstaffSchwartz.m GenPathsA.m GenericLS.m BuildHandles.m ExampleLS.m |

Paolo Brandimarte, Agostino Villa (editors) |

Paolo Brandimarte, Agostino Villa |

Paolo Brandimarte, Agostino Villa |

Paolo Brandimarte, Agostino Villa (editors) |