Numerical Methods in Finance Hardback
Edited by L. C. G. (University of Bath) Rogers, D. (Institut National de Recherche en Informatique et en Automatique (INRIA), Rocquencourt) Talay
Part of the Publications of the Newton Institute series
Hardback
Description
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.
Information
-
Out of stock
- Format:Hardback
- Pages:340 pages, 15 Tables, unspecified; 20 Line drawings, unspecified
- Publisher:Cambridge University Press
- Publication Date:26/06/1997
- Category:
- ISBN:9780521573542
Information
-
Out of stock
- Format:Hardback
- Pages:340 pages, 15 Tables, unspecified; 20 Line drawings, unspecified
- Publisher:Cambridge University Press
- Publication Date:26/06/1997
- Category:
- ISBN:9780521573542
