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.


Cover Page ......Page 1
Title Page ......Page 2
Copyright Page ......Page 4
General Preface......Page 5
Model Risk in Finance: Some Modeling and Numerical Analysis Issues......Page 7
Robust Preferences and Robust Portfolio Choice......Page 33
Stochastic Portfolio Theory: an Overview......Page 92
Asymmetric Variance Reduction for Pricing American Options......Page 171
Downside and Drawdown Risk Characteristics of Optimal Portfolios in Continuous Time......Page 190
Investment Performance Measurement Under Asymptotically Linear Local Risk Tolerance......Page 228
Malliavin Calculus for Pure Jump Processes and Applications to Finance......Page 255
On the Discrete Time Capital Asset Pricing Model......Page 297
Numerical Approximation by Quantization of Control Problems in Finance Under Partial Observations......Page 323
Recombining Binomial Tree Approximations for Diffusions......Page 359
Partial Differential Equations for Option Pricing......Page 367
Advanced Monte Carlo Methods for Barrier and Related Exotic Options......Page 490
Real Options......Page 522
Anticipative Stochastic Control for Lévy ProcessesWith Application to Insider Trading......Page 564
Optimal Quantization for Finance: From Random Vectors to Stochastic Processes......Page 585
Stochastic Clock and Financial Markets......Page 639
Analytical Approximate Solutions to American Barrier and Lookback Option Values......Page 654
Asset PricesWith Regime-Switching Variance Gamma Dynamics......Page 674
Index......Page 701