Understanding Numerical Analysis for Financial Models

出版者:Cambridge Univ Pr

作者:Lapeyre, B. J./ Sulem, A./ Talay, D.

页数:300

出版时间:2003-9

价格:$ 56.50

装帧:HRD

isbn号码:9780521621144

This introduction to algorithm analysis is directed to financial models, especially in option pricing and portfolio management. It includes Monte Carlo methods, tree algorithms, finite-difference methods for parabolic partial differential equations, and estimation procedures for financial models. Concepts are introduced through financial questions and examples. The analysis is suitable for students in mathematical finance as well as professionals wanting to understand better the financial applications of algorithms.