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.
General
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