TY - BOOK ID - 145459681 TI - Numerical methods in finance AU - Rogers, L. C. G. AU - Talay, D. PY - 1997 SN - 1139173057 PB - Cambridge : Cambridge University Press, DB - UniCat KW - Finance KW - Mathematical models. UR - https://www.unicat.be/uniCat?func=search&query=sysid:145459681 AB - 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. ER -