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Numerical Methods in Finance has recently emerged as a new 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 program, 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, for all of whom this will be the only up-to-date reference on the subject.

Finance --- Finances --- Mathematical models. --- Modèles mathématiques --- Modèles mathématiques --- Numerical methods of optimisation --- -Probability. Mathematical statistics --- -336.7 Geldwezen. Kredietwezen. Bankwezen. Financien. Monetaire econonomie. Beurswezen --- 336.7 --- 519.2 --- 336.7 Geldwezen. Kredietwezen. Bankwezen. Financien. Monetaire econonomie. Beurswezen --- Geldwezen. Kredietwezen. Bankwezen. Financien. Monetaire econonomie. Beurswezen --- 519.2 Probability. Mathematical statistics --- Probability. Mathematical statistics --- Mathematical models --- Stochastic processes --- International financial management --- Congresses --- Finance - Mathematical models

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Stochastic processes --- Partial differential equations --- Stochastic partial differential equations --- Differential equations, Nonlinear --- Convergence --- Numerical solutions --- Congresses. --- Probabilities --- Congresses --- Differential equations [Nonlinear ] --- Differential equations [Partial ] --- Stochastic partial differential equations - Numerical solutions - Congresses. --- Differential equations, Nonlinear - Numerical solutions - Congresses. --- Convergence - Congresses.

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This book is a collection of state-of-the-art surveys on various topics in mathematical finance, with an emphasis on recent modelling and computational approaches. The volume is related to a 'Special Semester on Stochastics with Emphasis on Finance' that took place from September to December 2008 at the Johann Radon Institute for Computational and Applied Mathematics of the Austrian Academy of Sciences in Linz, Austria.

Finance --- -332.01519 --- Funding --- Funds --- Economics --- Currency question --- Mathematical models --- Finance -- Mathematical models. --- Financial engineering. --- Insurance -- Mathematics. --- Mathematical optimization. --- Options (Finance) -- Mathematical models. --- Stochastic differential equations. --- Options (Finance) --- Insurance --- Mathematical models. --- Mathematics. --- Computational finance --- Engineering, Financial --- Optimization (Mathematics) --- Optimization techniques --- Optimization theory --- Systems optimization --- Mathematical analysis --- Maxima and minima --- Operations research --- Simulation methods --- System analysis --- Differential equations --- Fokker-Planck equation --- Business mathematics --- Actuarial science --- Stochastic differential equations --- Mathematical optimization --- Financial engineering --- Mathematics --- E-books --- Finance Mathematics. --- Insurance Mathematics. --- Mathematical Modelling. --- Optimization. --- Stochastic Differential Equations.