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|a 9781139173056 (ebook)
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|z 9780521573542 (hardback)
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|a 332/.01/51
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|a Numerical methods in finance /
|c edited by L.C.G. Rogers and D. Talay.
|
| 264 |
|
1 |
|a Cambridge :
|b Cambridge University Press,
|c 1997.
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| 300 |
|
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|a 1 online resource (x, 326 pages) :
|b digital, PDF file(s).
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|a Publications of the Newton Institute ;
|v 13
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| 500 |
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|a Title from publisher's bibliographic system (viewed on 05 Oct 2015).
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| 505 |
0 |
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|a 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 securites / M. Broadie & J. Detemple -- American options : a comparison of numerical methods / F. AitSahlia & P. Carr -- Fast, accurate and inelegant valuation of American options / Adriaan Joubert & 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. Fournié, J.M. Lasry & P.L. Lions -- Monte Carlo methods for stochastic volatility models / E. Fournié, J.M. Lasry & N. Touzi -- Dynamic optimization for a mixed portfolio with transaction costs / Agnès Sulem -- Imperfect markets and backward stochastic differential equations / N. El Karoui & M.C. Quenez -- Reflected backward SDEs and American options / N. El Karoui, E. Pardoux & M.C. Quenez -- Numerical methods for backward stochastic differential equations / D. Chevance -- Viscosity solutions and numerical schemes for investment/consumption models with transaction costs / Agnès Tourin & Thaleia Zariphopoulou -- Does volatility jump or just diffuse? A statistical approach / Renzo G. Avesani & Pierre Bertrand -- Martingale-based hedge error control / Peter Bossaerts & Bas Werker -- The use of second-order stochastic dominance to bound European call prices : theory and results / Claude Henin & Nathalie Pistre.
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| 520 |
|
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|a 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.
|
| 650 |
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0 |
|a Finance
|x Mathematical models.
|0 http://id.loc.gov/authorities/subjects/sh85048260
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| 700 |
1 |
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|a Rogers, L. C. G.,
|e editor.
|0 http://id.loc.gov/authorities/names/n94059402
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| 700 |
1 |
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|a Talay, D.
|q (Denis),
|e editor.
|0 http://id.loc.gov/authorities/names/n96058144
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| 776 |
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|i Print version:
|t Numerical methods in finance
|z 9780521573542.
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|v 13.
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