ENGLISH

Numerical methods in finance

By Michèle Breton , Hatem Ben-Ameur

Book information

Publisher
Springer
Year
2005
ISBN
0387251170, 9780387251172, 9780387251189, 0387251189
Open Library ID
OL7444762M
Language
english
Format
PDF
Filesize
14 MB (14185837 bytes)
Series
GERAD 25th anniversary series 9
Edition
1
Pages
268\268
Time added
2009-08-06 05:14:26
Финансово-экономические дисциплины;Математические

Description

The use of mathematical models and numerical techniques in finance is a growing practice, and an increasing number of applied mathematicians are working on applications in finance and business. Numerical Methods in Finance presents some exciting developments arising from the combination of mathematics, numerical analysis, and finance. It covers a wide range of topics, from portfolio management and asset pricing, to performance, risk, debt and real option evaluation. It also presents applications of a variety of cutting edge approaches and techniques, including robust control, min-max optimisation, Bessel processes, stochastic viability, variational inequalities, and Monte-Carlo test techniques. Numerical Methods in Finance also presents surveys of models and approaches in specific areas in finance, such as corporate debt valuation and portfolio selection.

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