Overview

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 importants 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

Full Product Details

Author:   Philippe G. Ciarlet (City University of Hong Kong, Kowloon) ,  Alain Bensoussan (University of Texas, School of Management, Richardson, USA) ,  Qiang Zhang (City University of Hong Kong, Kowloon)
Publisher:   Elsevier Science & Technology
Imprint:   North-Holland
Volume:   v. 15
Dimensions:   Width: 16.50cm , Height: 4.10cm , Length: 24.00cm
Weight:   1.490kg
ISBN:  

9780444518798

ISBN 10:   0444518797
Pages:   684
Publication Date:   05 December 2008
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print  
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

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

Reviews

Author Information

Tab Content 6

Author Website:  

Customer Reviews

Recent Reviews

No review item found!

Add your own review!

Countries Available

All regions