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Numerical Methods in Finance : Publications of the Newton Institute - L. C. G. Rogers

Numerical Methods in Finance

Publications of the Newton Institute

By: L. C. G. Rogers (Editor), Denis Talay (Editor), H. K. Moffatt (Editor)

Hardcover Published: 28th June 1997
ISBN: 9780521573542
Number Of Pages: 340

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Numerical Methods in Finance has recently emerged as a new 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 program, 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, for all of whom this will be the only up-to-date reference on the subject.

From the hardback review: '... the book can be strongly recommended to economists, probabilists, and applied mathematics working in finance.' European Mathematical Society

Convergence of numerical schemes for degenerate parabolic equations arising in finance theory
Continuous-time Monte Carlo methods and variance reduction
Recent advances in numerical methods for pricing derivative securities
American options: a comparison of numerical methods
Fast, accurate and inelegant valuation of American options
Valuation of American options in a jump-diffusion model
Some nonlinear methods for studying far-from-the-money contingent claims
Stochastic volatility models
Dynamic optimisation for a mixed portfolio with transaction costs Agn├ęs Sulem
Imperfect markets and backward stochastic differential equations
Numerical methods for backward stochastic differential equations
Viscosity solutions and numerical schemes for investment/consumption models with transaction costs
Does volatility jump or just diffuse? A statistical approach
Martingale-based hedge error control
The use of second order stochastic dominance to bound European call prices: theory and results
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780521573542
ISBN-10: 0521573548
Series: Publications of the Newton Institute
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 340
Published: 28th June 1997
Publisher: Cambridge University Press
Country of Publication: GB
Dimensions (cm): 22.8 x 15.2  x 2.2
Weight (kg): 0.67

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