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  1. Home
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  3. Numerical Methods in Finance
  • Cited by 21
  • Edited by L. C. G. Rogers, University of Bath, D. Talay, Institut National de Recherche en Informatique et en Automatique (INRIA), Rocquencourt
Publisher:
Cambridge University Press
Online publication date:
June 2012
Print publication year:
1997
Online ISBN:
9781139173056
DOI:
https://doi.org/10.1017/CBO9781139173056
Subjects:
Mathematics, Mathematical Physics, Mathematical Finance, Numerical Analysis and Computational Science
Series:
Publications of the Newton Institute (13)
Information

Book 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.

Reviews

Review of the hardback:‘… the book can be strongly recommended to economists, probabilists, and applied mathematics working in finance.’

Source: European Mathematical Society

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