Mathematical Modelling and Numerical Methods in Finance: Volume 15
Special Volume
North-Holland (Publisher)
Published on 5. December 2008
Book
Hardback
684 pages
978-0-444-51879-8 (ISBN)
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.
More details
Series
Language
English
Place of publication
United States
Publishing group
Elsevier Science & Technology
Target group
Professional and scholarly
Academics, researchers, and practitioners in quantitative finance, financial risk management; economics, and other areas of math, science and engineering
Product notice
Laminated cover
Dimensions
Height: 250 mm
Width: 182 mm
Thickness: 45 mm
Weight
1535 gr
ISBN-13
978-0-444-51879-8 (9780444518798)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Mathematical Modelling and Numerical Methods in Finance
Special Volume
E-Book
06/2009
Elsevier
€180.00
Available for download
Persons
Content
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
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