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Numerical Methods in Finance : Publications of the Newton Institute - No Information Available

Numerical Methods in Finance

By: No Information Available

Paperback | 29 April 2008

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

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