Advanced financial modelling

Advanced financial modelling / edited by Hansjörg Albrecher, Wolfgang J. Runggaldier, Walter Schachermayer.

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...

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Bibliographic Details
Other Authors: Albrecher, Hansjörg, Runggaldier, W. J. (Wolfgang J.), Schachermayer, Walter
Format: eBook
Language:English
Published: Berlin ; New York : W. de Gruyter, ©2009.
Series:Radon series on computational and applied mathematics ; 8.
Subjects:
Finance > Mathematical models.
Options (Finance) > Mathematical models.
Insurance > Mathematics.
Stochastic differential equations.
Mathematical optimization.
Financial engineering.
MATHEMATICS > Probability & Statistics > General.
Finance > Mathematical models
Financial engineering
Insurance > Mathematics
Mathematical optimization
Options (Finance) > Mathematical models
Stochastic differential equations
Stochastische Differentialgleichung
Optimierung
Finanzmathematik
Online Access:Click for online access
Table of Contents:
  • 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.

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