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Numerical Methods in Finance (Publications…
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Numerical Methods in Finance (Publications of the Newton Institute)

by L. C. G. Rogers

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Amazon.com Product Description (ISBN 0521573548, Hardcover)

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.

(retrieved from Amazon Thu, 12 Mar 2015 18:21:41 -0400)

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