Numerical Methods in Finance
L. C. G. Rogers, D. Talay
Cambridge University Press, Jun 26, 1997 - Business & Economics - 326 pages
Numerical methods in finance has recently emerged as a new discipline at the intersection of probability theory, finance and numerical analysis. This book describes a wide variety of numerical methods used in financial analysis: computation of option prices, especially 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. Lucid and concise, it covers both mathematical matters and practical issues in numerical problems. This book is an ideal resource for economists, probabilists and applied mathematicians working in finance.
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Numerical Methods in Finance
Numerical Methods in Finance has recently emerged as a new discipline at the intersection of probability theory, finance and numerical analysis. ...
assets.cambridge.org/ 052157/ 3548/ description/ 0521573548_description.htm
JSTOR: Numerical Methods in Finance
Numerical Methods in Finance. MTW. Journal of the American Statistical Association, Vol. ... Numerical Methods in Finance. lcg ROGERS and D. TALAY (Eds.). ...
MATH 294: MATHEMATICS OF FINANCE (WINTER 2008)
Numerical Methods in Finance; Numerical methods in finance, lcg Rogers and D. Talay, Cambridge University Press, 1997. Monte Carlo methods in financial ...
math.ucsd.edu/ ~williams/ courses/ math294.html
Applied mathematical finance
M. BROADIE, J. DETEMPLE, Recent advances in numerical methods for pricing derivative securities, in: Numerical Methods in Finance, lcg Rogers, D. Talay, ...
www.wias-berlin.de/ publications/ annual_reports/ 2002/ node76.html
Chris Rogers' publications
In Numerical Methods in Finance, eds. lcg Rogers & D. Talay, 88--92, .... Numerical Methods in Finance' (edited jointly with Denis Talay). ...
www.statslab.cam.ac.uk/ ~chris/ pub.htm
A forward–backward stochastic algorithm for quasi-linear pdes
In Numerical Methods in Finance (lcg Rogers and D. Talay, eds.) 232--234. ... In Handbook on Numerical Methods in Finance (S. Rachev, ed.) 253--298. ...
projecteuclid.org/ handle/ euclid.aoap/ 1141654284
In lcg Rogers and D. Talay, editors, Numerical Methods in Finance, Publications of the Newton Institute. Cambridge University Press, 1997. ...
cermics.enpc.fr/ ~bl/ monte-carlo.html
IMPROVED ACCURACY FOR FAST PARTIAL DIFFERENTIAL EQUATION METHODS ...
Derivative Securities," in Numerical Methods in Finance, lcg Rogers and D. Talay,. eds, Cambridge University Press, Cambridge, 1997: 43-66. ...
www.cmis.csiro.au/ risk/ ModelDocuments/ NickZiliPaperForQMF99.pdf
El Otmani: Approximation scheme for solutions of backward ...
 D. Chevance Numerical methods for backward stochastic differ- ential equations, Numerical methods in finance (L. Rogers et D.Talay, éds. ...
ambp.cedram.org/ ambp-bin/ fitem?id=AMBP_2006__13_1_17_0
Mathematical Finance Resources
G2 Rogers lcg, Talay D. Numerical Methods in Finance CUP 1997 .91bxx .... A4; Talay D., Rogers lcg 1997 Numerical Methods in Finance CUP .91bxx 97. ...
www.mi.imati.cnr.it/ ~sara/ mathfin.htm