Mathematical Modelling and Numerical Methods in Finance
Special Volume
Edited by- Alain Bensoussan, University of Texas, School of Management, Richardson, USA
- Qiang Zhang, City University of Hong Kong, Kowloon
- Philippe Ciarlet, City University of Hong Kong, Kowloon
Audience
Academics, researchers, and practitioners in quantitative finance, financial risk management; economics, and other areas of math, science and engineering
Included in series
Handbook of Numerical Analysis
Handbook of Numerical Analysis
Hardbound, 684 Pages
Published: December 2008
Imprint: North-holland
ISBN: 978-0-444-51879-8
Contents
- Table of ContentsPart I: Mathematical Models1. On Model Risk2. Robust Optimization Problems in Finance3. A Survey of Stochastic Portfolio Theory4. Stochastic Volatility Modeling and Use of Perturbation Methods5. Downside and Drawdown Risk Characteristics of Optimal Continuous Time6. Portfolio of Choice and Valuation in Incomplete Markets7. Integration by Parts Formulas for Levy Processes Application in Finance.Part II: Computational Methods8. On the Discrete Time Capital Asset Pricing Model9. Quantization Methods and Applications to Numerical Problems in Finance10. Recombining Binomial Tree Approximations for Diffusions11. Computational Methods for Calibration12. Numerical Methods in Finance: Monte Carlo MethodsPart III: Applications13. Real Options14. Anticipative Stochastic Control for Levy Processes with Application to Insider Trading15. Functional Quantization and Applications to the Pricing of Path-Dependent Derivatives.16. Stochastic Clock in Financial Markets17. Exotic Options18. Filtering a Regime Switching VG Price Process
