Numerical Methods in Finance by L. C. G. Rogers
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Numerical Methods in Finance
By L. C. G. Rogers

Numerical Methods in Finance

Edited by See other recent books by L. C. G. Rogers See other recent books by Denis Talay
Series edited by H. K. Moffatt See other recent books by H. K. Moffatt
Format: Hardback

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Numerical Methods in Finance by L. C. G. Rogers

Book 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.

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Book Details

ISBN: 9780521573542
ISBN-10: 0521573548
Format: Hardback
(228mm x 152mm x 22mm)
Pages: 340
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 26-Jun-1997
Country of Publication: United Kingdom

Other Editions...


Books By Author L. C. G. Rogers

Numerical Methods in Finance by L. C. G. Rogers Numerical Methods in Finance, Paperback (April 2008)

Numerical Methods in Finance describes a wide variety of numerical methods used in financial analysis.

Diffusions, Markov Processes and Martingales: Volume 2, Ito Calculus by L. C. G. Rogers Diffusions, Markov Processes and Martingales: Volume 2, Ito Calculus, Paperback (September 2000)

This celebrated volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes.

Diffusions, Markov Processes, and Martingales: Volume 1, Foundations by L. C. G. Rogers Diffusions, Markov Processes, and Martingales: Volume 1, Foundations, Paperback (April 2000)

Now available in paperback for the first time; essential reading for all students of probability theory.

» View all books by L. C. G. Rogers

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