Advanced Financial Modelling
1st Edition
Published on 15. December 2009
VIII, 453 pages
978-3-11-021314-0 (ISBN)
Description
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 'Special Semester on Stochastics with Emphasis on Finance' that took place from September to December 2008 at the Johann Radon Institute for Computational and Applied Mathematics of the Austrian Academy of Sciences in Linz, Austria.
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Hansjörg Albrecher | Wolfgang J. Runggaldier | Walter Schachermayer
Advanced Financial Modelling
Book
12/2009
1st Edition
De Gruyter
€239.00
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Hansjörg Albrecher | Wolfgang J. Runggaldier | Walter Schachermayer
Advanced Financial Modelling
Book
10/2009
1st Edition
De Gruyter
€250.00
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Persons
Hansjörg Albrecher, Austrian Academy of Sciences, Linz, Austria; Wolfgang J. Runggaldier, Università degli Studi di Padova, Italy; Walter Schachermayer, University of Technology, Vienna, Austria.
Content
1 - Preface [Seite 6]
2 - Contents [Seite 8]
3 - Brownian semistationary processes and volatility/intermittency [Seite 10]
4 - From bounds on optimal growth towards a theory of good-deal hedging [Seite 36]
5 - Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs [Seite 62]
6 - Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs [Seite 100]
7 - Affine diffusion processes: theory and applications [Seite 134]
8 - Multilevel quasi-Monte Carlo path simulation [Seite 174]
9 - Modelling default and prepayment using Lévy processes: an application to asset backed securities [Seite 192]
10 - Adaptive variance reduction techniques in finance [Seite 214]
11 - Regularisation of inverse problems and its application to the calibration of option price models [Seite 232]
12 - Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions [Seite 254]
13 - A review of some recent results on Malliavin Calculus and its applications [Seite 284]
14 - The numeraire portfolio in discrete time: existence, related concepts and applications [Seite 312]
15 - A worst-case approach to continuous-time portfolio optimisation [Seite 336]
16 - Time consistency and information monotonicity of multiperiod acceptability functionals [Seite 356]
17 - Optimal investment and hedging under partial and inside information [Seite 380]
18 - Investment/consumption choice in illiquid markets with random trading times [Seite 420]
19 - Optimal asset allocation in a stochastic factor model - an overview and open problems [Seite 436]
2 - Contents [Seite 8]
3 - Brownian semistationary processes and volatility/intermittency [Seite 10]
4 - From bounds on optimal growth towards a theory of good-deal hedging [Seite 36]
5 - Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs [Seite 62]
6 - Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs [Seite 100]
7 - Affine diffusion processes: theory and applications [Seite 134]
8 - Multilevel quasi-Monte Carlo path simulation [Seite 174]
9 - Modelling default and prepayment using Lévy processes: an application to asset backed securities [Seite 192]
10 - Adaptive variance reduction techniques in finance [Seite 214]
11 - Regularisation of inverse problems and its application to the calibration of option price models [Seite 232]
12 - Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions [Seite 254]
13 - A review of some recent results on Malliavin Calculus and its applications [Seite 284]
14 - The numeraire portfolio in discrete time: existence, related concepts and applications [Seite 312]
15 - A worst-case approach to continuous-time portfolio optimisation [Seite 336]
16 - Time consistency and information monotonicity of multiperiod acceptability functionals [Seite 356]
17 - Optimal investment and hedging under partial and inside information [Seite 380]
18 - Investment/consumption choice in illiquid markets with random trading times [Seite 420]
19 - Optimal asset allocation in a stochastic factor model - an overview and open problems [Seite 436]
