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Numerical Methods in Finance

$177.00

Part of Publications of the Newton Institute

  • Editors:
  • L. C. G. Rogers, University of Bath
  • D. Talay, Institut National de Recherche en Informatique et en Automatique (INRIA), Rocquencourt
G. Barles, Nigel J. Newton, M. Broad, J. Detemple, F. AitSahlia, P. Carr, Adriaan Joubert, L. C. G. Rogers, Xiao Lan Zhang, E. Fournié, J. M. Lasry, P.-L. Lions, N. Touzi, Agnès Sulem, N. El Karoui, M. C. Quenez, D. Chevance, Thaleia Zariphopoulou, Renzo G. Avesani, Pierre Bertrand, Peter Bossaerts, Bas Werker, Claude Henin, Nathalie Pistre
View all contributors
  • Date Published: June 1997
  • availability: In stock
  • format: Hardback
  • isbn: 9780521573542

$177.00
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About the Authors
  • Numerical methods in finance has recently emerged as a new discipline at the intersection of probability theory, finance and numerical analysis. This book describes a wide variety of numerical methods used in financial analysis: computation of option prices, especially 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. Lucid and concise, it covers both mathematical matters and practical issues in numerical problems. This book is an ideal resource for economists, probabilists and applied mathematicians working in finance.

    • First book in this area
    • Top contributors
    • Pedagogical and self-contained exposition
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    Product details

    • Date Published: June 1997
    • format: Hardback
    • isbn: 9780521573542
    • length: 340 pages
    • dimensions: 229 x 152 x 22 mm
    • weight: 0.67kg
    • contains: 20 b/w illus. 15 tables
    • availability: In stock
  • 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. Fournié, J. M. Lasry and P.-L. Lions
    8. Stochastic volatility models E. Fournié, J. M. Lasry and N. Touzi
    9. Dynamic optimisation for a mixed portfolio with transaction costs Agnès 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 Agnès 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.

  • Editors

    L. C. G. Rogers, University of Bath
    fm.author_biographical_note1

    D. Talay, Institut National de Recherche en Informatique et en Automatique (INRIA), Rocquencourt
    fm.author_biographical_note2

    Contributors

    G. Barles, Nigel J. Newton, M. Broad, J. Detemple, F. AitSahlia, P. Carr, Adriaan Joubert, L. C. G. Rogers, Xiao Lan Zhang, E. Fournié, J. M. Lasry, P.-L. Lions, N. Touzi, Agnès Sulem, N. El Karoui, M. C. Quenez, D. Chevance, Thaleia Zariphopoulou, Renzo G. Avesani, Pierre Bertrand, Peter Bossaerts, Bas Werker, Claude Henin, Nathalie Pistre

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