Numerical Methods in Finance (Paperback)

L.C.G. Rogers

ISBN 10: 0521061695 / ISBN 13: 9780521061698

Published by Cambridge University Press, Cambridge, 2008

About this Item

Paperback. 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. Numerical Methods in Finance 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. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.

Seller Inventory # 9780521061698

Bibliographic Details

• Title: Numerical Methods in Finance (Paperback)
• Publisher: Cambridge University Press, Cambridge
• Publication Date: 2008
• Language: English
• ISBN 10: 0521061695
• ISBN 13: 9780521061698
• Binding: Paperback
• Edition: 1st Edition
• Condition: new

About this title

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.

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.