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Numerical Methods in Finance (Publications of the Newton Institute)

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Numerical Methods in Finance (Publications of the Newton Institute)

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    Available in PDF Format | Numerical Methods in Finance (Publications of the Newton Institute).pdf | English
    L. C. G. Rogers (Author)
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

  • PDF | 340 pages
  • L. C. G. Rogers (Author)
  • Cambridge University Press: 1 edition (21 Aug. 2008)
  • English
  • 10
  • Science Nature

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