Numerical Methods in Finance
Published on 24. April 2008
Book
Paperback/Softback
340 pages
978-0-521-06169-8 (ISBN)
Description
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.
Reviews / Votes
Review of the hardback: '... the book can be strongly recommended to economists, probabilists, and applied mathematics working in finance.' European Mathematical SocietyMore details
Series
Language
English
Place of publication
Cambridge
United Kingdom
Target group
Professional and scholarly
Product notice
Paperback (trade)
Illustrations
15 Tables, unspecified; 20 Line drawings, unspecified
Dimensions
Height: 229 mm
Width: 152 mm
Thickness: 20 mm
Weight
553 gr
ISBN-13
978-0-521-06169-8 (9780521061698)
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Schweitzer Classification
Persons
Content
Introduction; 1. Convergence of numerical schemes for degenerate parabolic equations arising in finance theory G. Barles; 2. Continuous-time Monte Carlo methods and variance reduction Nigel J. Newton; 3. Recent advances in numerical methods for pricing derivative securities M. Broad and J. Detemple; 4. American options: a comparison of numerical methods F. AitSahlia and P. Carr; 5. Fast, accurate and inelegant valuation of American options Adriaan Joubert and L. C. G. Rogers; 6. Valuation of American options in a jump-diffusion model Xiao Lan Zhang; 7. Some nonlinear methods for studying far-from-the-money contingent claims E. Fournie, J. M. Lasry and P.-L. Lions; 8. Stochastic volatility models E. Fournie, J. M. Lasry and N. Touzi; 9. Dynamic optimisation for a mixed portfolio with transaction costs Agnes Sulem; 10. Imperfect markets and backward stochastic differential equations N. El Karoui and M. C. Quenez; 11. Numerical methods for backward stochastic differential equations D. Chevance; 12. Viscosity solutions and numerical schemes for investment/consumption models with transaction costs Agnes Tourin and Thaleia Zariphopoulou; 13. Does volatility jump or just diffuse? A statistical approach Renzo G. Avesani and Pierre Bertrand; 14. Martingale-based hedge error control Peter Bossaerts and Bas Werker; 15. The use of second order stochastic dominance to bound European call prices: theory and results Claude Henin and Nathalie Pistre.