Numerical methods in finance / (Record no. 517181)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 03696nam a22003738i 4500 |
| 001 - CONTROL NUMBER | |
| control field | CR9781139173056 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | UkCbUP |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20200124160226.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION | |
| fixed length control field | m|||||o||d|||||||| |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr|||||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 111013s1997||||enk o ||1 0|eng|d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781139173056 (ebook) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 9780521573542 (hardback) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 9780521061698 (paperback) |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | UkCbUP |
| Language of cataloging | eng |
| Description conventions | rda |
| Transcribing agency | UkCbUP |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG174 |
| Item number | .N86 1997 |
| 082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332/.01/51 |
| Edition number | 21 |
| 245 00 - TITLE STATEMENT | |
| Title | Numerical methods in finance / |
| Statement of responsibility, etc | edited by L.C.G. Rogers and D. Talay. |
| 264 #1 - Production, Publication, Distribution, Manufacture, and Copyright Notice (R) | |
| Place of production, publication, distribution, manufacture (R) | Cambridge : |
| Name of producer, publisher, distributor, manufacturer (R) | Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice | 1997. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (x, 326 pages) : |
| Other physical details | digital, PDF file(s). |
| 336 ## - Content Type (R) | |
| Content type term (R) | text |
| Content type code (R) | txt |
| Source (NR) | rdacontent |
| 337 ## - Media Type (R) | |
| Media type term (R) | computer |
| Media type code (R) | c |
| Source (NR) | rdamedia |
| 338 ## - Carrier Type (R) | |
| Carrier type term (R) | online resource |
| Carrier type code (R) | cr |
| Source (NR) | rdacarrier |
| 490 1# - SERIES STATEMENT | |
| სერიის ცნობა | Publications of the Newton Institute ; |
| Volume number/sequential designation | 13 |
| 500 ## - GENERAL NOTE | |
| General note | Title from publisher's bibliographic system (viewed on 05 Oct 2015). |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 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. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | 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 of option prices, especially of American option prices, by finite difference and other 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 to offer economists, probabilists and applied mathematicians working in finance. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance |
| General subdivision | Mathematical models. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Rogers, L. C. G., |
| Relator term | editor. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Talay, D. |
| Fuller form of name | (Denis), |
| Relator term | editor. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Print version: |
| International Standard Book Number | 9780521573542 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Publications of the Newton Institute ; |
| Volume number/sequential designation | 13. |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://doi.org/10.1017/CBO9781139173056">https://doi.org/10.1017/CBO9781139173056</a> |
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