Numerical Methods in Finance
Numerical Methods in Finance
D. Talay, Institut National de Recherche en Informatique et en Automatique (INRIA), Rocquencourt
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.
- First book in this area
- Top contributors
- Pedagogical and self-contained exposition
Reviews & endorsements
Review of the hardback: '… the book can be strongly recommended to economists, probabilists, and applied mathematics working in finance.' European Mathematical Society
Product details
No date availablePaperback
9780521061698
340 pages
229 × 153 × 19 mm
0.518kg
20 b/w illus. 15 tables
Table of Contents
- Introduction
- 1. Convergence of numerical schemes for degenerate parabolic equations arising in finance theory G. Barles
- 2. Continuous-time Monte Carlo methods and variance reduction Nigel J. Newton
- 3. Recent advances in numerical methods for pricing derivative securities M. Broad and J. Detemple
- 4. American options: a comparison of numerical methods F. AitSahlia and P. Carr
- 5. Fast, accurate and inelegant valuation of American options Adriaan Joubert and L. C. G. Rogers
- 6. Valuation of American options in a jump-diffusion model Xiao Lan Zhang
- 7. Some nonlinear methods for studying far-from-the-money contingent claims E. Fournié, J. M. Lasry and P.-L. Lions
- 8. Stochastic volatility models E. Fournié, J. M. Lasry and N. Touzi
- 9. Dynamic optimisation for a mixed portfolio with transaction costs Agnès Sulem
- 10. Imperfect markets and backward stochastic differential equations N. El Karoui and M. C. Quenez
- 11. Numerical methods for backward stochastic differential equations D. Chevance
- 12. Viscosity solutions and numerical schemes for investment/consumption models with transaction costs Agnès Tourin and Thaleia Zariphopoulou
- 13. Does volatility jump or just diffuse? A statistical approach Renzo G. Avesani and Pierre Bertrand
- 14. Martingale-based hedge error control Peter Bossaerts and Bas Werker
- 15. The use of second order stochastic dominance to bound European call prices: theory and results Claude Henin and Nathalie Pistre.
