
Mathematical Modelling and Numerical Methods in Finance
Special Volume
Description
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
Readership
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 FinancePart 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 MethodsPart 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
Product details
- No. of pages: 684
- Language: English
- Copyright: © North Holland 2008
- Published: December 5, 2008
- Imprint: North Holland
- Hardcover ISBN: 9780444518798
- eBook ISBN: 9780080931005
About the Series Editor
Philippe Ciarlet
Affiliations and Expertise
About the Editors
Alain Bensoussan
Affiliations and Expertise
Qiang Zhang
Affiliations and Expertise
Ratings and Reviews
There are currently no reviews for "Mathematical Modelling and Numerical Methods in Finance"