Advanced financial modelling /
Annotation This book is a collection of state-of-the-art surveys on various topics in mathematical finance, with an emphasis on recent modelling and computational approaches. The volume is related to a a ~Special Semester on Stochastics with Emphasis on Financea (TM) that took place from September t...
| Други автори: | Albrecher, Hansjorg., Runggaldier, W. J., Schachermayer, Walter. |
|---|---|
| Формат: | Електронна книга |
| Език: | English |
| Публикувано: |
Berlin ; New York :
W. de Gruyter,
℗♭2009.
|
| Серия: |
Radon series on computational and applied mathematics ;
8. |
| Предмети: | |
| Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=307984 |
| Подобни документи: |
Print version::
Advanced financial modelling. |
Съдържание:
- Cover
- Frontmatter
- Contents
- Brownian semistationary processes and volatility/intermittency
- From bounds on optimal growth towards a theory of good-deal hedging
- Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs
- Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs
- Affine diffusion processes: theory and applications
- Multilevel quasi-Monte Carlo path simulation
- Modelling default and prepayment using Lvy processes: an application to asset backed securities
- Adaptive variance reduction techniques in finance
- Regularisation of inverse problems and its application to the calibration of option price models
- Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
- A review of some recent results on Malliavin Calculus and its applications
- The numeraire portfolio in discrete time: existence, related concepts and applications
- A worst-case approach to continuous-time portfolio optimisation
- Time consistency and information monotonicity of multiperiod acceptability functionals
- Optimal investment and hedging under partial and inside information
- Investment/consumption choice in illiquid markets with random trading times
- Optimal asset allocation in a stochastic factor model an overview and open problems.