Numerical Methods in Finance

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. Language: English