Handbook of numerical analysis. Volume 15 /

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: mathe...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Ciarlet, Philippe G.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Amsterdam ; New York : North-Holland, �2009.
Temas:
Numerical analysis.
Analyse num�erique.
Numerical analysis
Finanzmathematik
Numerieke wiskunde.
Acceso en línea:Texto completo
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Tabla de Contenidos:
  • 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.

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