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Kniha Numerical Methods in Finance L. C. G. RogersD. Talay

Numerical Methods in Finance

Autor: L. C. G. RogersD. Talay
Jazyk: Angličtina
Vazba: Pevná
Vydavatel: Cambridge University Press
Dostupnost: Skladem u dodavatele
Odesíláme za 9-15 dnů
3 363 Kč
Numerical Methods in Finance has emerged as a discipline at the intersection of probability theory,...

Informace o knize

Autor
L. C. G. RogersD. Talay
Jazyk
Angličtina
Vazba
Kniha - Pevná
Vydáno
1997
Stránek
340
EAN
9780521573542
ISBN
0521573548
Enbook ID
02035763
Vydavatel
Cambridge University Press
Hmotnost
670
Rozměry
152 x 229 x 22

Kompletní popis

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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