http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
1 online resource (vi, 726 pages) : illustrations (some color)
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.
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.
Includes bibliographical references and indexes.
133544:133669 Elsevier Science & Technology