Del 15 - Handbook of Numerical Analysis

Mathematical Modelling and Numerical Methods in Finance

Special Volume

Inbunden, Engelska, 2008

AvPhilippe G. Ciarlet,Alain Bensoussan,Qiang Zhang

2 769 kr

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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.

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

Produktinformation

Utgivningsdatum2008-12-05
Mått182 x 250 x 45 mm
Vikt1 490 g
FormatInbunden
SpråkEngelska
SerieHandbook of Numerical Analysis
Antal sidor684
FörlagElsevier Science
ISBN9780444518798

Tillhör följande kategorier

Tillämpad matematik inom Naturvetenskap och teknik

Part 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 FinancePart 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

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