Mathematical Modelling and Numerical Methods in Finance

Klappentext 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 Zusammenfassung Mathematical Finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. This book addresses the three aspects in the field: mathematical models! computational methods! and applications.

Inhalt

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

8. Quantization Methods and Applications to Numerical Problems in Finance
9. Recombining Binomial Tree Approximations for Diffusions
10. Computational Methods for Calibration

11. Numerical Methods in Finance: Monte Carlo Methods

    Part III: Applications
    13. Real Options

12. Anticipative Stochastic Control for Levy Processes with Application to Insider Trading
13. Functional Quantization and Applications to the Pricing of Path-Dependent Derivatives.
14. Stochastic Clock in Financial Markets
15. Exotic Options
16. Filtering a Regime Switching VG Price Process