| Description |
1 online resource (vi, 726 pages) : illustrations (some color) |
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text txt rdacontent |
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computer c rdamedia |
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online resource cr rdacarrier |
| Summary |
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. |
| Contents |
Part I: Mathematical Models -- On Model Risk -- Robust Optimization Problems in Finance -- A Survey of Stochastic Portfolio Theory -- Stochastic Volatility Modeling and Use of Perturbation Methods -- Downside and Drawdown Risk Characteristics of Optimal Continuous Time -- Portfolio of Choice and Valuation in Incomplete Markets -- Integration by Parts Formulas for Levy Processes Application in Finance -- Part II: Computational Methods --On the Discrete Time Capital Asset Pricing Model -- Quantization Methods and Applications to Numerical Problems in Finance -- Recombining Binomial Tree Approximations for Diffusions -- Computational Methods for Calibration -- Numerical Methods in Finance: Monte Carlo Methods -- Part III: Applications -- Real Options -- Anticipative Stochastic Control for Levy Processes with Application to Insider Trading -- Functional Quantization and Applications to the Pricing of Path-Dependent Derivatives -- Stochastic Clock in Financial Markets -- Exotic Options -- Filtering a Regime Switching VG Price Process. |
| Bibliography |
Includes bibliographical references and indexes. |
| Subject |
Numerical analysis.
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Analyse numérique.
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Numerical analysis
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Finanzmathematik
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Numerieke wiskunde.
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Analyse numérique.
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| Added Author |
Ciarlet, Philippe G.
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| ISBN |
9780444518798 (electronic bk.) |
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0444518797 (electronic bk.) |
| Standard No. |
AU@ 000066218929 |
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DEBSZ 405339224 |
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GBVCP 825903343 |
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