COVID-19 Update: We are currently shipping orders daily. However, due to transit disruptions in some geographies, deliveries may be delayed. To provide all customers with timely access to content, we are offering 50% off Science and Technology Print & eBook bundle options. Terms & conditions.
Mathematical Modelling and Numerical Methods in Finance - 1st Edition - ISBN: 9780444518798, 9780080931005

Mathematical Modelling and Numerical Methods in Finance, Volume 15

1st Edition

Special Volume

Series Editor: Philippe Ciarlet
Editors: Alain Bensoussan Qiang Zhang
Hardcover ISBN: 9780444518798
eBook ISBN: 9780080931005
Imprint: North Holland
Published Date: 5th December 2008
Page Count: 684
Sales tax will be calculated at check-out Price includes VAT/GST
Price includes VAT/GST

Institutional Subscription

Secure Checkout

Personal information is secured with SSL technology.

Free Shipping

Free global shipping
No minimum order.

Table of Contents

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


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.

Key Features

  • 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


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


No. of pages:
© North Holland 2008
5th December 2008
North Holland
Hardcover ISBN:
eBook ISBN:

Ratings and Reviews

About the Series Editor

Philippe Ciarlet

Affiliations and Expertise

City University of Hong Kong, Kowloon

About the Editors

Alain Bensoussan

Affiliations and Expertise

University of Texas, School of Management, Richardson, USA

Qiang Zhang

Affiliations and Expertise

City University of Hong Kong, Kowloon