Numerical Methods in Finance
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Beschreibung
The use of mathematical models and numerical techniques in finance is a growing practice, and an increasing number of applied mathematicians are working on applications in finance and business. This book presents some exciting developments arising from the combination of mathematics, numerical analysis, and finance. It covers a wide range of topics, from portfolio management and asset pricing, to performance, risk, debt and real option evaluation. It also presents applications of a variety of cutting edge approaches and techniques, including robust control, min-max optimisation, Bessel processes, stochastic viability, variational inequalities, and Monte-Carlo test techniques. The book also presents surveys of models and approaches in specific areas in finance, such as corporate debt valuation and portfolio selection.
The use of mathematical models and numerical techniques in finance is a growing practice, and an increasing number of applied mathematicians are working on applications in finance and business. This volume presents some exciting developments arising from the combination of mathematics, numerical analysis, and finance. It covers a wide range of topics, from portfolio management and asset pricing, to performance, risk, debt and real option evaluation, also presenting surveys of models and approaches in specific areas in finance, such as corporate debt valuation and portfolio selection.
One of ten volumes marking the 25th anniversary of GERAD covering most of the Center's research areas of expertise Presents some exciting developments arising from the combination of mathematics, numerical analysis, and finance
Autor*in
Michèle Breton
Themen in »Numerical Methods in Finance«
asset ben-ameur linear optimization optimisation optimization paraplusig portfolio pricing