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Numerical Methods in Finance|L. C. G. Rogers

Numerical Methods in Finance

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Overview

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.

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Details

  • ISBN-13: 9780521061698
  • ISBN-10: 0521061695
  • Publisher: Cambridge University Press
  • Publish Date: April 2008
  • Dimensions: 9 x 6 x 0.76 inches
  • Shipping Weight: 1.1 pounds
  • Page Count: 340

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