Mathematical Modelling and Numerical Methods in Finance

<p>Part I: Mathematical Models<br>1. On Model Risk<br>2. Robust Optimization Problems in Finance<br>3. A Survey of Stochastic Portfolio Theory<br>4. Stochastic Volatility Modeling and Use of Perturbation Methods<br>5. Downside and Drawdown Risk Characteristics of Optimal Continuous Time<br>6. Portfolio of Choice and Valuation in Incomplete Markets<br>7. Integration by Parts Formulas for Levy Processes Application in Finance</p> <p>Part II: Computational Methods<br>8. On the Discrete Time Capital Asset Pricing Model<br>9. Quantization Methods and Applications to Numerical Problems in Finance<br>10. Recombining Binomial Tree Approximations for Diffusions<br>11. Computational Methods for Calibration<br>12. Numerical Methods in Finance: Monte Carlo Methods</p> <p>Part III: Applications<br>13. Real Options<br>14. Anticipative Stochastic Control for Levy Processes with Application to Insider Trading<br>15. Functional Quantization and Applications to the Pricing of Path-Dependent Derivatives.<br>16. Stochastic Clock in Financial Markets<br>17. Exotic Options<br>18. Filtering a Regime Switching VG Price Process</p>