Limit search to available items
Book Cover

Title Numerical methods in finance / edited by L.C.G. Rogers and D. Talay
Published Cambridge ; New York : Cambridge University Press, 1997


Location Call no. Vol. Availability
 W'PONDS  332.0151 Rog/Nmi  AVAILABLE
Description x, 326 pages : illustrations ; 24 cm
Series Publications of the Newton Institute
Publications of the Newton Institute.
Contents Convergence of Numerical Schemes for Degenerate Parabolic Equations Arising in Finance Theory / G. Barles -- Continuous-Time Monte Carlo Methods and Variance Reduction / Nigel J. Newton -- Recent Advances in Numerical Methods for Pricing Derivative Securities / M. Broadie and J. Detemple -- American Options: A Comparison of Numerical Methods / F. AitSahlia and P. Carr -- Fast, Accurate and Inelegant Valuation of American Options / Adriaan Joubert and L. C. G. Rogers -- Valuation of American Option in a Jump-diffusion Models / Xiao Lan Zhang -- Some Nonlinear Methods for Studying Far-from-the-money Contingent Claims / E. Fournie, J. M. Lasry and P. L. Lions -- Monte Carlo Methods for Stochastic Volatility Models / E. Fournie, J. M. Lasry and N. Tonzi -- Dynamic Optimization for a Mixed Portfolio with Transaction Costs / Agnes Sulem -- Imperfect Markets and Backward Stochastic Differential Equations / N. El Karoui and M. C. Quenez
Reflected Backward SDEs and American Options / N. El Karoui, E. Pardoux and M. C. Quenez -- Numerical Methods for Backward Stochastic Differential Equations / D. Chevance -- Viscosity Solutions and Numerical Schemes for Investment/ Consumption Models with Transaction Costs / Agnes Tourin and Thaleia Zariphopoulou -- Does Volatility Jump or Just Diffuse? A Statistical Approach / Renzo G. Avesani and Pierre Bertrand -- Martingale-Based Hedge Error Control / Peter Bossaerts and Bas Werker -- The Use of Second-Order Stochastic Dominance To Bound European Call Prices: Theory and Results / Claude Henin and Nathalie Pistre
Summary "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."--Publisher's website
Notes Paperback published in 2008
Bibliography Includes bibliographical references
Notes English
Subject Finance -- Mathematical models.
Financial futures.
Author Rogers, L. C. G.
Talay, D. (Denis)
Isaac Newton Institute for Mathematical Sciences.
LC no. 96037026
ISBN 0521573548 (hardback)