HOME > Detail View

Detail View

Mathematical modeling and numerical methods in finance

Mathematical modeling and numerical methods in finance (Loan 2 times)

Material type
단행본
Personal Author
Zhang, Qiang Professor. Bensoussan, Alain.
Title Statement
Mathematical modeling and numerical methods in finance / guest editors: Alain Bensoussan, Qiang Zhang.
Publication, Distribution, etc
Amsterdam ;   London :   Elsevier ,   c2009.  
Physical Medium
xv, 726 p. : ill. ; 25 cm.
Series Statement
Handbook of numerical analysis ,1570-8659 ; v. 15 (special vol.)
ISBN
9780444518798 :
Bibliography, Etc. Note
Includes bibliographical references and index.
Subject Added Entry-Topical Term
Numerical analysis. Finance -- Mathematical models.
000 01085camuu2200277 a 4500
001 000045598992
005 20100616094739
008 100616s2009 ne a b 001 0 eng
015 ▼a GBA8E2094 ▼2 bnb
020 ▼a 9780444518798 : ▼c No price
040 ▼a Uk ▼b eng ▼c Uk ▼d 211009
082 0 4 ▼a 332.015118 ▼2 22
090 ▼a 332.015118 ▼b M426
245 0 0 ▼a Mathematical modeling and numerical methods in finance / ▼c guest editors: Alain Bensoussan, Qiang Zhang.
246 3 ▼a Special volume: Mathematical modeling and numerical methods in finance
260 ▼a Amsterdam ; ▼a London : ▼b Elsevier , ▼c c2009.
300 ▼a xv, 726 p. : ▼b ill. ; ▼c 25 cm.
490 1 ▼a Handbook of numerical analysis , ▼x 1570-8659 ; ▼v v. 15 (special vol.)
504 ▼a Includes bibliographical references and index.
650 0 ▼a Numerical analysis.
650 0 ▼a Finance ▼x Mathematical models.
700 1 ▼a Zhang, Qiang ▼c Professor.
700 1 ▼a Bensoussan, Alain.
830 0 ▼a Handbook of numerical analysis ; ▼v v. 15 (special vol.).
945 ▼a KLPA

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.015118 M426 Accession No. 121196077 Availability Available Due Date Make a Reservation Service B M

Contents information

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


Information Provided By: : Aladin

New Arrivals Books in Related Fields

Ingham, Geoffrey K. (2020)