NUMERICAL METHODS IN FINANCE by L. C. G. Rogers (Editor), Denis Talay (Editor), H. K. Moffatt ( 9780521573542 )

Item Details

Title:

NUMERICAL METHODS IN FINANCE

By:

L. C. G. Rogers (Editor), Denis Talay (Editor), H. K. Moffatt

Format:

Hardback

List price:

£111.00

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£97.13

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12.5% off

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£13.87

ISBN 10:

0521573548

ISBN 13:

9780521573542

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Publisher:

CAMBRIDGE UNIVERSITY PRESS

Pub. date:

26 June, 1997

Series:

Publications of the Newton Institute No.13

Pages:

340

Description:

Numerical Methods in Finance describes a wide variety of numerical methods used in financial analysis.

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.

Illustrations:

20 b/w illus. 15 tables

Publication:

Imprint:

Cambridge University Press

Returns:

Returnable

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