Holdings: Handbook of numerical analysis

Handbook of numerical analysis: 15 Special volume: Mathematical modelling and numerical methods in finance

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Bibliographic Details
Other Authors:	Du, Qiang 1964- (Editor)
Format:	Book
Language:	English
Published:	Amsterdam North-Holland 2009
Online Access:	Inhaltsverzeichnis
Physical Description:	XV, 726 S. Ill., graph. Darst.
ISBN:	0444518797 9780444518798

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MARC


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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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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
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