| Description |
1 online resource (xv, 258 pages) : illustrations |
| Series |
GERAD 25th anniversary series ; 9 |
|
GERAD 25th anniversary series ; 9
|
| Contents |
Cover -- Table of Contents -- Foreword -- Avant-propos -- Contributing Authors -- Preface -- Chapter 1 Corporate Debt Valuation: The Structural Approach -- Chapter 2 Bessel Processes and Asian Options -- Chapter 3 Dynamic Management of Portfolios with Transaction Costs under Tychastic Uncertainty -- Chapter 4 The Robust Control Approach to Option Pricing and Interval Models: An Overview -- Chapter 5 A Finite Element Method for Two Factor Convertible Bonds -- Chapter 6 On Numerical Methods and the Valuation of American Options -- Chapter 7 Valuing American Contingent Claims when Time to Maturity is Uncertain -- Chapter 8 Foreign Direct Investment: The Incentive to Expropriate and the Cost of Expropriation Risk -- Chapter 9 Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions -- Chapter 10 A Stochastic Discount Factor-Based Approach for Fixed-income Mutual Fund Performance Evaluation -- Chapter 11 Portfolio Selection with Skewness |
| Summary |
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 |
| Bibliography |
Includes bibliographical references |
| Notes |
Foreword also in French |
|
Print version record |
| In |
Springer e-books |
| Subject |
Finance -- Mathematical models.
|
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BUSINESS & ECONOMICS -- Finance.
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Financiering.
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Numerieke methoden.
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Finance -- Mathematical models.
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Affaires.
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Science économique.
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Economie de l'entreprise.
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Finance -- Mathematical models.
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Capital-Asset-Pricing-Modell
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Finanzmathematik
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Optionspreistheorie
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Financiering.
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Numerieke methoden.
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| Genre/Form |
Aufsatzsammlung.
|
| Form |
Electronic book
|
| Author |
Breton, Michèle
|
|
Ben-Ameur, Hatem
|
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GERAD
|
| ISBN |
9780387251172 |
|
0387251170 |
|
9780387251189 |
|
0387251189 |
|
6610234183 |
|
9786610234189 |
|
1280234180 |
|
9781280234187 |
|
