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 ofoption prices, especially of American option prices, by finite difference andother 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 tooffer economists, probabilists and applied mathematicians working in finance. INDICE: 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 innumerical 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 marketsand 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. Doesvolatility 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 Europeancall prices: theory and results Claude Henin and Nathalie Pistre.
- ISBN: 978-0-521-06169-8
- Editorial: Cambridge University
- Encuadernacion: Rústica
- Páginas: 340
- Fecha Publicación: 24/04/2008
- Nº Volúmenes: 1
- Idioma: Inglés