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Numerical methods in finance

Numerical methods in finance (Loan 4 times)

Material type
단행본
Personal Author
Rogers, L. C. G. Talay, D. (Denis)
Title Statement
Numerical methods in finance / edited by L.C.G. Rogers and D. Talay.
Publication, Distribution, etc
Cambridge ;   New York :   Cambridge University Press,   1997.  
Physical Medium
x, 326 p. : ill. ; 24 cm.
Series Statement
Publications of the Newton Institute
ISBN
0521573548 (hardback) 0521061695 (pbk.)
Bibliography, Etc. Note
Includes bibliographical references.
Subject Added Entry-Topical Term
Finance -- Mathematical models.
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001 000045658292
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008 110725s1997 enka b 000 0 eng d
010 ▼a 96037026
020 ▼a 0521573548 (hardback)
020 ▼a 0521061695 (pbk.)
035 ▼a (KERIS)REF000000014362
040 ▼a DLC ▼c DLC ▼d DLC ▼d 211009
050 0 0 ▼a HG174 ▼b .N86 1997
082 0 0 ▼a 332.0151 ▼2 22
084 ▼a 332.0151 ▼2 DDCK
090 ▼a 332.0151 ▼b N9712
245 0 0 ▼a Numerical methods in finance / ▼c edited by L.C.G. Rogers and D. Talay.
260 ▼a Cambridge ; ▼a New York : ▼b Cambridge University Press, ▼c 1997.
300 ▼a x, 326 p. : ▼b ill. ; ▼c 24 cm.
490 1 ▼a Publications of the Newton Institute
504 ▼a Includes bibliographical references.
650 0 ▼a Finance ▼x Mathematical models.
700 1 ▼a Rogers, L. C. G.
700 1 ▼a Talay, D. ▼q (Denis)
830 0 ▼a Publications of the Newton Institute.
945 ▼a KLPA

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.0151 N9712 Accession No. 121211287 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents


CONTENTS

Contributors = ⅶ

Introduction = ⅸ

Convergence of Numerical Schemes for Degenerate Parabolic Equations Arising in Finance Theory / G. Barles = 1

Continuous- Time Monte Carlo Methods and Variance Reduction / Nigel J. Newton = 22

Recent Advances in Numerical Methods for Pricing Derivative Securities / M. Broadie ; J. Detemple = 43

American Options: A Comparison of Numerical Methods / F. AitSahlia ; P. Carr = 67

Fast, Accurate and Inelegant Valuation of American Options / Adriaan Joubert ; L. C. G. Rogers = 88

Valuation of American Option in a Jump-diffusion Models / Xiao Lan Zhang = 93

Some Nonlinear Methods for Studying Far-from-the-money Contingent Claims / E. Fourni$$\acute e$$ ; J. M. Lasry ; P. L. Lions = 115

Monte Carlo Methods for Stochastic Volatility Models / E. Fourni$$\acute e$$ ; J. M. Lasry ; N. Touzi = 146

Dynamic Optimization for a Mixed Portfolio with Transaction Costs / Agn$$\grave a$$s Sulem = 165

Imperfect Markets and Backward Stochastic Differential Equations / N. El Karoui ; M. C. Quenez = 181

Reflected Backward SDEs and American Options / N. El Karoui ; E. Pardoux ; M. C. Quenez = 215

Numerical Methods for Backward Stochastic Differential Equation / D. Chevance = 232

Viscosity Solutions and Numerical Schemes for Investment/Consumption Models with Transaction Costs / Agn$$\grave a$$s Tourin ; Thaleia Zariphopoulou = 245

Does Volatility Jump or Just Diffuse? A Statistical Approach / Renzo C. Avesani ; Pierre Bertrand = 270

Martingale- Based Hedge Error Control / Peter Bossaerts ; Bas Werker = 290

The Use of Second-Order Stochastic Dominance To Bound European Call Prices: Theory and Results / Claude Henin ; Nathalie Pistre = 305



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