Numerical methods in finance / edited by L.C.G. Rogers and D. Talay.

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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: com...

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Bibliographic Details
Uniform Title:Publications of the Newton Institute ; 13.
Other Authors: Rogers, L. C. G. (Editor)
Talay, D. (Denis) (Editor)
Language:English
Published: Cambridge : Cambridge University Press, 1997.
Series:Publications of the Newton Institute ; 13.
Subjects:
Finance > Mathematical models.
Online Access:
Connect to online resource - MSU authorized users (Digital Object Identifier Permalink)
Physical Description:1 online resource (x, 326 pages) : digital, PDF file(s).
Format: Electronic eBook
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 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.