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 our UK warehouse or from our Australian or US warehouses, 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 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.

Review

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