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 | | Numerical Methods in Finance (Publications of the Newton Institute) by L. C. G. Rogers (Editor), D. Talay (Editor) ISBN-10: 9780521573542 ISBN-10: 0-521-57354-8 ISBN-13: 9780521573542 ISBN-13: 978-0-521-57354-2 Hardcover 1997-06-28 Cambridge University Press Find Lowest Price |
Editorials | ||
Product 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: 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. | ||
Reviews | ||
! This is another master piece from the Newton Institute following the Mathematics of Derivative Securities. However, the title is rather misleading as the book offers very few details in computer implementation and techniques. | ||