Numerical Methods in Finance

Rogers L C G and Talay D Editing

ISBN 10: 0521573548 / ISBN 13: 9780521573542

Published by Cambridge University Press, Cambridge, 1997

About this Item

From an academic library with the usual stamps etc.

Seller Inventory # A00024188

Bibliographic Details

• Title: Numerical Methods in Finance
• Publisher: Cambridge University Press, Cambridge
• Publication Date: 1997
• Language: English
• ISBN 10: 0521573548
• ISBN 13: 9780521573542
• Binding: Hard Cover
• Edition: First Edition.
• Condition: Good
• Dust Jacket Condition: No Jacket
• Book Type: A00024188

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