Numerical Methods in Finance

Publications of the Newton Institute

by L.C.G. Rogers

Numerical Methods in Finance has recently emerged as a new discipline at the intersection of probability theory, finance and numerical analysis. This book describes a wide variety of numerical methods used in financial analyis. 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, for all of whom this will be the only up-to-date reference on the subject.

Hardcover

First published June 28, 1997