Numerical Methods in Finance (Publications of the Newton Institute, Series Number 13) - Softcover

Softcover

ISBN 10: 0521061695 ISBN 13: 9780521061698

Publisher: Cambridge University Press, 2008

Synopsis

Numerical methods in finance has recently emerged as a new discipline at the intersection of probability theory, finance and numerical analysis. This book describes a wide variety of numerical methods used in financial analysis: computation of option prices, especially 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. Lucid and concise, it covers both mathematical matters and practical issues in numerical problems. This book is an ideal resource for economists, probabilists and applied mathematicians working in finance.

About this title

Book Description

Numerical Methods in Finance has recently emerged as a new discipline at the intersection of probability theory, finance and numerical analysis. This book describes a wide variety of numerical methods used in financial analysis. 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.

Review

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

Edition details

• Publisher: Cambridge University Press
• Publication date: 2008
• Language: English
• ISBN 10: 0521061695
• ISBN 13: 9780521061698
• Binding: Paperback
• Edition number: 1
• Number of pages: 340
• Editor: Rogers L. C. G., Talay D.