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Elsevier

Mathematical Modelling and Numerical Methods in Finance

Special Volume

  • 1st Edition, Volume 15 - December 5, 2008
  • Latest edition
  • Editors: Philippe G. Ciarlet, Alain Bensoussan, Qiang Zhang
  • Language: English

Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously.… Read more

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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

  • Edition: 1
  • Latest edition
  • Volume: 15
  • Published: April 4, 2013
  • Language: English

About the editors

PC

Philippe G. Ciarlet

Affiliations and expertise
City University of Hong Kong, Kowloon

AB

Alain Bensoussan

Affiliations and expertise
University of Texas, School of Management, Richardson, USA

QZ

Qiang Zhang

Affiliations and expertise
City University of Hong Kong, Kowloon

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