Numerical Methods in Finance

  • Michèle Breton
  • Hatem Ben-Ameur

Table of contents

About this book

Introduction

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.

Keywords

asset ben-ameur linear optimization optimisation optimization paraplusig portfolio pricing

Editors and affiliations

  • Michèle Breton
    • 1
  • Hatem Ben-Ameur
    • 1
  1. 1.GERAD and HEC MontréalMontréal

Bibliographic information

  • DOI https://doi.org/10.1007/b106806
  • Copyright Information Springer Science+Business Media, Inc. 2005
  • Publisher Name Springer, Boston, MA
  • eBook Packages Business and Economics
  • Print ISBN 978-0-387-25117-2
  • Online ISBN 978-0-387-25118-9
  • About this book