Handbook of numerical analysis: 15 Special volume: Mathematical modelling and numerical methods in finance
Gespeichert in:
| Weitere Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Amsterdam
North-Holland
2009
|
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XV, 726 S. Ill., graph. Darst. |
| ISBN: | 0444518797 9780444518798 |
Internformat
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| 245 | 1 | 0 | |a Handbook of numerical analysis |n 15 |p Special volume: Mathematical modelling and numerical methods in finance |c general editor: P. G. Ciarlet (Laboratoire Jacques-Louis Lions, Université Pierre et Marie Curie), J. L. Lions |
| 264 | 1 | |a Amsterdam |b North-Holland |c 2009 | |
| 300 | |a XV, 726 S. |b Ill., graph. Darst. | ||
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| 700 | 1 | |a Ciarlet, Philippe G. |d 1938- |e Sonstige |0 (DE-588)143368362 |4 oth | |
| 700 | 1 | |a Lions, Jacques-Louis |d 1928-2001 |e Sonstige |0 (DE-588)124055397 |4 oth | |
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Datensatz im Suchindex
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| adam_text | Contents
of
Volume
XV
Special
Volume: Mathematical Modeling and Numerical Methods in Finance
General Preface
v
Part
1:
Mathematical Models
Model Risk in Finance: Some Modeling and Numerical Analysis
Issues, Denis Talay
3
Robust Preferences and Robust Portfolio Choice, Alexander
Schied,
Hans
Föllmer,
Stefan Weber
29
Stochastic Portfolio Theory: an Overview, loannis Karatzas,
Robert
Fernholz 89
Asymmetric Variance Reduction for Pricing American Options,
Chuan-Hsiang Han, Jean-Pierre Fouque
169
Downside and Drawdown Risk Characteristics of Optimal Portfolios
in Continuous Time, Dennis Yang, Minjie Yu, Qiang Zhang
189
Investment Performance Measurement Under Asymptotically Linear
Local Risk Tolerance, T. Zariphopoulou, T. Zhou
227
Malliavin Calculus for Pure Jump Processes and Applications to
Finance, Marie-Pierre Bavouzet, Marouen Messaoud, Vlad Bally
255
Part
2:
Computational Methods
On the Discrete Time Capital Asset Pricing Model, Alain Bensoussan
299
Numerical Approximation by Quantization of Control Problems in
Finance Under Partial Observations,
Huyên Pham,
Marco
Corsi,
Wolfgang J. Runggaldier
325
Recombining Binomial Tree Approximations for Diffusions,
John van
der Hoek
361
Partial Differential Equations for Option Pricing, Olivier Pironneau,
Yves Achdou
369
Advanced Monte Carlo Methods for Barrier and Related Exotic
Options, Emmanuel Gobet
497
Part
3:
Applications
Real Options, Alain Bensoussan
531
Anticipative
Stochastic Control for Levy Processes With Application to
Insider Trading,
Agnès
Sulem,
Arturo
Kohatsu-Higa,
Bernt
0ksendal, Frank Proske,
Giulia Di
Nunno,
Thilo Meyer-Brandis 573
Optimal Quantization for Finance: From Random Vectors to Stochastic
Processes,
Gilles
Pages, Jacques Printems
595
Stochastic Clock and Financial Markets,
Helyette Geman
. 649
Analytical Approximate Solutions to American Barrier and
Lookback
Option Values, Qiang Zhang, Tanya Taksar
665
Asset Prices With Regime-Switching Variance Gamma Dynamics,
Andrew J. Royal, Robert J. Elliott
685
Index
713
|
| adam_txt |
Contents
of
Volume
XV
Special
Volume: Mathematical Modeling and Numerical Methods in Finance
General Preface
v
Part
1:
Mathematical Models
Model Risk in Finance: Some Modeling and Numerical Analysis
Issues, Denis Talay
3
Robust Preferences and Robust Portfolio Choice, Alexander
Schied,
Hans
Föllmer,
Stefan Weber
29
Stochastic Portfolio Theory: an Overview, loannis Karatzas,
Robert
Fernholz 89
Asymmetric Variance Reduction for Pricing American Options,
Chuan-Hsiang Han, Jean-Pierre Fouque
169
Downside and Drawdown Risk Characteristics of Optimal Portfolios
in Continuous Time, Dennis Yang, Minjie Yu, Qiang Zhang
189
Investment Performance Measurement Under Asymptotically Linear
Local Risk Tolerance, T. Zariphopoulou, T. Zhou
227
Malliavin Calculus for Pure Jump Processes and Applications to
Finance, Marie-Pierre Bavouzet, Marouen Messaoud, Vlad Bally
255
Part
2:
Computational Methods
On the Discrete Time Capital Asset Pricing Model, Alain Bensoussan
299
Numerical Approximation by Quantization of Control Problems in
Finance Under Partial Observations,
Huyên Pham,
Marco
Corsi,
Wolfgang J. Runggaldier
325
Recombining Binomial Tree Approximations for Diffusions,
John van
der Hoek
361
Partial Differential Equations for Option Pricing, Olivier Pironneau,
Yves Achdou
369
Advanced Monte Carlo Methods for Barrier and Related Exotic
Options, Emmanuel Gobet
497
Part
3:
Applications
Real Options, Alain Bensoussan
531
Anticipative
Stochastic Control for Levy Processes With Application to
Insider Trading,
Agnès
Sulem,
Arturo
Kohatsu-Higa,
Bernt
0ksendal, Frank Proske,
Giulia Di
Nunno,
Thilo Meyer-Brandis 573
Optimal Quantization for Finance: From Random Vectors to Stochastic
Processes,
Gilles
Pages, Jacques Printems
595
Stochastic Clock and Financial Markets,
Helyette Geman
. 649
Analytical Approximate Solutions to American Barrier and
Lookback
Option Values, Qiang Zhang, Tanya Taksar
665
Asset Prices With Regime-Switching Variance Gamma Dynamics,
Andrew J. Royal, Robert J. Elliott
685
Index
713 |
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| index_date | 2024-07-02T22:12:08Z |
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| isbn | 0444518797 9780444518798 |
| language | English |
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| spelling | Handbook of numerical analysis 15 Special volume: Mathematical modelling and numerical methods in finance general editor: P. G. Ciarlet (Laboratoire Jacques-Louis Lions, Université Pierre et Marie Curie), J. L. Lions Amsterdam North-Holland 2009 XV, 726 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Ciarlet, Philippe G. 1938- Sonstige (DE-588)143368362 oth Lions, Jacques-Louis 1928-2001 Sonstige (DE-588)124055397 oth Du, Qiang 1964- (DE-588)1188249320 edt (DE-604)BV002745459 15 Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016763691&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Handbook of numerical analysis |
| title | Handbook of numerical analysis |
| title_auth | Handbook of numerical analysis |
| title_exact_search | Handbook of numerical analysis |
| title_exact_search_txtP | Handbook of numerical analysis |
| title_full | Handbook of numerical analysis 15 Special volume: Mathematical modelling and numerical methods in finance general editor: P. G. Ciarlet (Laboratoire Jacques-Louis Lions, Université Pierre et Marie Curie), J. L. Lions |
| title_fullStr | Handbook of numerical analysis 15 Special volume: Mathematical modelling and numerical methods in finance general editor: P. G. Ciarlet (Laboratoire Jacques-Louis Lions, Université Pierre et Marie Curie), J. L. Lions |
| title_full_unstemmed | Handbook of numerical analysis 15 Special volume: Mathematical modelling and numerical methods in finance general editor: P. G. Ciarlet (Laboratoire Jacques-Louis Lions, Université Pierre et Marie Curie), J. L. Lions |
| title_short | Handbook of numerical analysis |
| title_sort | handbook of numerical analysis special volume mathematical modelling and numerical methods in finance |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016763691&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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