Numerical Methods in Finance

Numerical Methods in Finance

Edited by  , Edited by 

List price: US$195.00

Currently unavailable

We can notify you when this item is back in stock

Add to wishlist

AbeBooks may have this title (opens in new window).

Try AbeBooks


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 more

Product details

  • Online resource
  • Cambridge University Press (Virtual Publishing)
  • Cambridge, United Kingdom
  • English
  • 20 b/w illus. 15 tables
  • 1139173057
  • 9781139173056

Review quote

Review of the hardback: '... the book can be strongly recommended to economists, probabilists, and applied mathematics working in finance.' European Mathematical Societyshow more

Table of contents

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 more