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Elsevier

Mathematical Modelling and Numerical Methods in Finance

Special Volume

  • 1 Edición, Volumen 15 - 5 de diciembre de 2008
  • Última edición
  • Editores: Alain Bensoussan, Philippe G. Ciarlet, Qiang Zhang
  • Idioma: Inglés

Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously.… Leer más

Descripción

Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains.

Puntos claves

  • Coverage of all aspects of quantitative finance including models, computational methods and applications
  • Provides an overview of new ideas and results
  • Contributors are leaders of the field

De interès para

Academics, researchers, and practitioners in quantitative finance, financial risk management; economics, and other areas of math, science and engineering

Índice

Part I: Mathematical Models

1. On Model Risk

2. Robust Optimization Problems in Finance

3. A Survey of Stochastic Portfolio Theory

4. Stochastic Volatility Modeling and Use of Perturbation Methods

5. Downside and Drawdown Risk Characteristics of Optimal Continuous Time

6. Portfolio of Choice and Valuation in Incomplete Markets

7. Integration by Parts Formulas for Levy Processes Application in Finance

Part II: Computational Methods

8. On the Discrete Time Capital Asset Pricing Model

9. Quantization Methods and Applications to Numerical Problems in Finance

10. Recombining Binomial Tree Approximations for Diffusions

11. Computational Methods for Calibration

12. Numerical Methods in Finance: Monte Carlo Methods

Part III: Applications

13. Real Options

14. Anticipative Stochastic Control for Levy Processes with Application to Insider Trading

15. Functional Quantization and Applications to the Pricing of Path-Dependent Derivatives.

16. Stochastic Clock in Financial Markets

17. Exotic Options

18. Filtering a Regime Switching VG Price Process

Detalles del producto

  • Edición: 1
  • Última edición
  • Volumen: 15
  • Publicado: 4 de abril de 2013
  • Idioma: Inglés

Sobre los editores

AB

Alain Bensoussan

Afiliaciones y experiencia
University of Texas, School of Management, Richardson, USA

PC

Philippe G. Ciarlet

Afiliaciones y experiencia
City University of Hong Kong, Kowloon

QZ

Qiang Zhang

Afiliaciones y experiencia
City University of Hong Kong, Kowloon

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