Topics in Numerical Methods for Finance

Mark Cummins; Finbarr Murphy; John J.H.  Miller

doi:10.1007/978-1-4614-3433-7

Topics in Numerical Methods for Finance

Mark Cummins, Finbarr Murphy, John J.H. Miller

Accounting And Finance

Research output: Book/Report › Book

Abstract

Provides valuable, practical and cutting-edge developments in a variety of quantitative finance areas, including option pricing, arbitrage-free surface construction, moving boundary problems, arbitrage-free parity theory and fear measurement

Presents a variety of novel mathematical methods involving weak discrete time approximations, moving least squares construction, simulation-regression methods, Fourier transform techniques, Wiener-Hopf factorisation, multinomial lattices and cross recurrence

Offers topics of appeal to both academics and practitioners working in the field of quantitative finance

Original language	English
Place of Publication	New York
Publisher	Springer New York
Number of pages	204
Volume	19
ISBN (Electronic)	9781461434337
ISBN (Print)	9781461434320, 9781461434320
DOIs	https://doi.org/10.1007/978-1-4614-3433-7
Publication status	Published - 2012

Publication series

Name	Springer Proceedings in Mathematics and Statistics
Volume	19
ISSN (Print)	2194-1009
ISSN (Electronic)	2194-1017

Keywords

mathematics in business
mathematics and numerical analysis
financial economics
quantitative finance
weak discrete time approximations
moving least squares construction
simulation-regression methods
Fourier transform techniques
Wiener-Hopf factorisation

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10.1007/978-1-4614-3433-7

Cite this

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KW - mathematics and numerical analysis

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Topics in Numerical Methods for Finance

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