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  ContinuousTime 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 Jumpdiffusion Models / Xiao Lan Zhang  Some Nonlinear Methods for Studying Farfromthemoney 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  MartingaleBased Hedge Error Control / Peter Bossaerts and Bas Werker  The Use of SecondOrder 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 selfcontained, 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) 
