Numerical Methods in Finance - 9780521573542

Numerical Methods in FinanceAuthor(s): L. C. G. Rogers, D. Talay\nFormat: Hardback\nPublisher: Cambridge University Press, United Kingdom\nImprint: Cambridge University Press\nISBN-13: 9780521573542, 978-0521573542\nSynopsis\nNumerical 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 somet.