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Numerical Methods in Finance

By L. C. G. Rogers (Editor), D. Talay (Editor)
Paperback
$77.00
By L. C. G. Rogers (Editor), D. Talay (Editor)
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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 stoch...