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Book synopsis

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.

Book details

• Full title: Numerical Methods in Finance
• Author: L. C. G. RogersD. Talay
• Language: English
• Binding: Paperback
• Number of pages: 340
• EAN: 9780521061698
• ISBN: 0521061695
• ID: 02020213
• Publisher: Cambridge University Press
• Weight: 518 g
• Dimensions: 229 × 153 × 19 mm
• Date of publishing: 24. April 2008

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