John Miller, David Edelman, John Appleby
Chapman & Hall/CRC Financial Mathematics Series
Boca Raton, Florida: CRC Press, 2008
293pp, ISBN: 978-1-58488-925-0
This examination of numerical methods provides practical insights on credit risks, exotic/hybrid options, retirement plans/pensions, life insurance, portfolio selection, incentive schemes, and interest rate modeling. It presents a variety of mathematical methods involving finite-difference, Monte Carlo, and fast Fourier transform techniques, alternatives to the Value at Risk approach, and identifies the potential pitfalls of standard methodologies.