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Anotace knihy

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.

Parametry knihy

Zařazení knihy Knihy v angličtině Mathematics & science Mathematics Probability & statistics

• Plný název: Numerical Methods in Finance
• Autor: L. C. G. RogersD. Talay
• Jazyk: Angličtina
• Vazba: Pevná
• Počet stran: 340
• EAN: 9780521573542
• ISBN: 0521573548
• ID: 02035763
• Nakladatelství: Cambridge University Press
• Hmotnost: 670 g
• Rozměry: 229 × 152 × 22 mm
• Datum vydání: 26. June 1997

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