Mathematical Modelling and Numerical Methods in Finance

Mathematical Modelling and Numerical Methods in Finance

Special Volume

1st Edition - December 5, 2008

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  • Editor: Philippe Ciarlet
  • Hardcover ISBN: 9780444518798
  • eBook ISBN: 9780080931005

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Description

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

Readership

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

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

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

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

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