Numerical Methods in Finance

L. C. G. Rogers (Curatore)

D. Talay (Curatore)

Cambridge University Press, 1997

Numerical Methods in Finance has emerged as a discipline at the intersection of probability theory, finance and numerical analysis. This book, based on lectures given at the Newton Institute as part of a broader programme, describes a wide variety of numerical methods used in financial analysis: computation of option prices, especially of American option prices, by finite difference and other methods; numerical solution of portfolio management strategies; statistical procedures; identification of models; Monte Carlo methods; and numerical implications of stochastic volatilities. Articles have been written in a pedagogic style and made reasonably self-contained, covering both mathematical matters and practical issues in numerical problems. Thus the book has something to offer economists, probabilists and applied mathematicians working in finance.

• Curatore: L. C. G. Rogers, D. Talay
• Editore: Cambridge University Press
• Collana: Publications of the Newton Institute
• Anno: 1997
• Rilegatura: Hardback
• Pagine: 340 p.
• Dimensioni: 229 x 152 mm
• Peso: 670 gr.
• EAN: 9780521573542

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