The Resource Numerical methods in finance, edited by L.C.G. Rogers and D. Talay

Numerical methods in finance, edited by L.C.G. Rogers and D. Talay

Label
Numerical methods in finance
Title
Numerical methods in finance
Statement of responsibility
edited by L.C.G. Rogers and D. Talay
Contributor
Subject
Genre
Language
eng
Member of
Cataloging source
DLC
Illustrations
illustrations
Index
no index present
LC call number
HG174
LC item number
.N86 1997
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Rogers, L. C. G
  • Talay, D.
http://library.link/vocab/subjectName
  • Finance
  • equation retrograde
  • equation differentielle stochastique
  • identification
  • methode monte-carlo
  • simulation marche
  • gestion portefeuille
  • portefeuille
  • option
  • stochastique
  • methode numerique
  • finance
  • Finances
  • Finance
  • Numerieke methoden
  • Bedrijfsfinanciering
  • Financas
  • Finances
  • Mathématiques financières
  • Marchés financiers
  • Finanztheorie
  • Numerisches Verfahren
  • Cambridge
Label
Numerical methods in finance, edited by L.C.G. Rogers and D. Talay
Instantiates
Publication
Bibliography note
Includes bibliographical references
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Convergence of numerical schemes for degenerate parabolic equations arising in finance theory / G. Barles -- Continuous-time Monte Carlo methods and variance reduction / Nigel J. Newton -- Recent advances in numerical methods for pricing derivative securites / M. Broadie & J. Detemple -- American options : a comparison of numerical methods / F. AitSahlia & P. Carr -- Fast, accurate and inelegant valuation of American options / Adriaan Joubert & L.C.G. Rogers -- Valuation of American option in a jump-diffusion models / Xiao Lan Zhang -- Some nonlinear methods for studying far-from-the-money contingent claims / E. Fournié, J.M. Lasry & P.L. Lions -- Monte Carlo methods for stochastic volatility models / E. Fournié, J.M. Lasry & N. Touzi -- Dynamic optimization for a mixed portfolio with transaction costs / Agnès Sulem -- Imperfect markets and backward stochastic differential equations / N. El Karoui & M.C. Quenez -- Reflected backward SDEs and American options / N. El Karoui, E. Pardoux & M.C. Quenez -- Numerical methods for backward stochastic differential equations / D. Chevance -- Viscosity solutions and numerical schemes for investment/consumption models with transaction costs / Agnès Tourin & Thaleia Zariphopoulou -- Does volatility jump or just diffuse? A statistical approach / Renzo G. Avesani & Pierre Bertrand -- Martingale-based hedge error control / Peter Bossaerts & Bas Werker -- The use of second-order stochastic dominance to bound European call prices : theory and results / Claude Henin & Nathalie Pistre
Dimensions
24 cm.
Extent
x, 326 pages
Isbn
9780521573542
Lccn
96037026
Media category
unmediated
Media MARC source
rdamedia
Media type code
n
Other physical details
illustrations
System control number
  • (OCoLC)35750381
  • (OCoLC)ocm35750381
Label
Numerical methods in finance, edited by L.C.G. Rogers and D. Talay
Publication
Bibliography note
Includes bibliographical references
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Convergence of numerical schemes for degenerate parabolic equations arising in finance theory / G. Barles -- Continuous-time Monte Carlo methods and variance reduction / Nigel J. Newton -- Recent advances in numerical methods for pricing derivative securites / M. Broadie & J. Detemple -- American options : a comparison of numerical methods / F. AitSahlia & P. Carr -- Fast, accurate and inelegant valuation of American options / Adriaan Joubert & L.C.G. Rogers -- Valuation of American option in a jump-diffusion models / Xiao Lan Zhang -- Some nonlinear methods for studying far-from-the-money contingent claims / E. Fournié, J.M. Lasry & P.L. Lions -- Monte Carlo methods for stochastic volatility models / E. Fournié, J.M. Lasry & N. Touzi -- Dynamic optimization for a mixed portfolio with transaction costs / Agnès Sulem -- Imperfect markets and backward stochastic differential equations / N. El Karoui & M.C. Quenez -- Reflected backward SDEs and American options / N. El Karoui, E. Pardoux & M.C. Quenez -- Numerical methods for backward stochastic differential equations / D. Chevance -- Viscosity solutions and numerical schemes for investment/consumption models with transaction costs / Agnès Tourin & Thaleia Zariphopoulou -- Does volatility jump or just diffuse? A statistical approach / Renzo G. Avesani & Pierre Bertrand -- Martingale-based hedge error control / Peter Bossaerts & Bas Werker -- The use of second-order stochastic dominance to bound European call prices : theory and results / Claude Henin & Nathalie Pistre
Dimensions
24 cm.
Extent
x, 326 pages
Isbn
9780521573542
Lccn
96037026
Media category
unmediated
Media MARC source
rdamedia
Media type code
n
Other physical details
illustrations
System control number
  • (OCoLC)35750381
  • (OCoLC)ocm35750381

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