Numerical Methods in Finance

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Cambridge University Press, Jun 26, 1997 - Business & Economics - 326 pages
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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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Contents

Nigel J Newton ContinuousTime Monte Carlo Methods and Variance
22
Broadie J Detemple Recent Advances in Numerical Methods
43
A Comparison of Numerical
67
Adriaan Joubert L C G Rogers Fast Accurate and Inelegant Valuation
88
Nathalie Pistre Groupe CERAM Rue Dostoievski BP 085 06902 Sophia
109
E Fournie J M Lasry P L Lions Some Nonlinear Methods for Studying
115
E Fournie J M Lasry N Touzi Monte Carlo Methods for Stochastic
146
Agnes Sulem Dynamic Optimization for a Mixed Portfolio with
165
N El Karoui M C Quenez Imperfect Markets and Backward Stochastic
181
N El Karoui E Pardoux M C Quenez Reflected Backward SDEs
215
Chevance Numerical Methods for Backward Stochastic Differential
232
Agnes Tourin Thaleia Zariphopoulou Viscosity Solutions and Numerical
245
Renzo G Avesani Pierre Bertrand Does Volatility Jump or Just Diffuse?
270
Peter Bossaerts Bas Werker MartingaleBased Hedge Error Control
290
Claude Henin Nathalie Pistre The Use of SecondOrder Stochastic
305
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