04603nam 2200853Ia 450 991078092260332120200520144314.01-282-45684-997866124568483-11-021314-110.1515/9783110213140(CKB)2550000000002186(EBL)476017(OCoLC)607228415(SSID)ssj0000356293(PQKBManifestationID)11277630(PQKBTitleCode)TC0000356293(PQKBWorkID)10350126(PQKB)10942384(MiAaPQ)EBC476017(DE-B1597)35750(OCoLC)719450838(DE-B1597)9783110213140(Au-PeEL)EBL476017(CaPaEBR)ebr10359383(CaONFJC)MIL245684(PPN)175477973(PPN)151028265(EXLCZ)99255000000000218620091012d2009 uy 0engur|||||||||||txtccrAdvanced financial modelling[electronic resource] /edited by Hansjörg Albrecher, Wolfgang J. Runggaldier, Walter SchachermayerBerlin ;New York Walter de Gruyterc20091 online resource (464 p.)Radon series on computational and applied mathematics ;8Description based upon print version of record.3-11-021313-3 Includes bibliographical references. 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 Lévy 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 problemsThis 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.Radon series on computational and applied mathematics ;8.FinanceMathematical modelsOptions (Finance)Mathematical modelsInsuranceMathematicsStochastic differential equationsMathematical optimizationFinancial engineeringFinance Mathematics.Insurance Mathematics.Mathematical Modelling.Optimization.Stochastic Differential Equations.FinanceMathematical models.Options (Finance)Mathematical models.InsuranceMathematics.Stochastic differential equations.Mathematical optimization.Financial engineering.519.5SK 980rvkAlbrecher Hansjörg611748Runggaldier W. J(Wolfgang J.)104586Schachermayer Walter60410MiAaPQMiAaPQMiAaPQBOOK9910780922603321Advanced financial modelling3836872UNINA