LEADER 04447nam 2200805Ia 450 001 9910457020303321 005 20200520144314.0 010 $a1-282-45684-9 010 $a9786612456848 010 $a3-11-021314-1 024 7 $a10.1515/9783110213140 035 $a(CKB)2550000000002186 035 $a(EBL)476017 035 $a(OCoLC)607228415 035 $a(SSID)ssj0000356293 035 $a(PQKBManifestationID)11277630 035 $a(PQKBTitleCode)TC0000356293 035 $a(PQKBWorkID)10350126 035 $a(PQKB)10942384 035 $a(MiAaPQ)EBC476017 035 $a(DE-B1597)35750 035 $a(OCoLC)719450838 035 $a(DE-B1597)9783110213140 035 $a(PPN)175477973$9sudoc 035 $a(PPN)151028265 035 $a(Au-PeEL)EBL476017 035 $a(CaPaEBR)ebr10359383 035 $a(CaONFJC)MIL245684 035 $a(EXLCZ)992550000000002186 100 $a20091012d2009 uy 0 101 0 $aeng 135 $aur||||||||||| 181 $ctxt 182 $cc 183 $acr 200 00$aAdvanced financial modelling$b[electronic resource] /$fedited by Hansjo?rg Albrecher, Wolfgang J. Runggaldier, Walter Schachermayer 210 $aBerlin ;$aNew York $cWalter de Gruyter$dc2009 215 $a1 online resource (464 p.) 225 1 $aRadon series on computational and applied mathematics ;$v8 300 $aDescription based upon print version of record. 311 $a3-11-021313-3 320 $aIncludes bibliographical references. 327 $t Frontmatter -- $tContents -- $tBrownian semistationary processes and volatility/intermittency -- $tFrom bounds on optimal growth towards a theory of good-deal hedging -- $tViscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs -- $tDiscrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs -- $tAffine diffusion processes: theory and applications -- $tMultilevel quasi-Monte Carlo path simulation -- $tModelling default and prepayment using Lévy processes: an application to asset backed securities -- $tAdaptive variance reduction techniques in finance -- $tRegularisation of inverse problems and its application to the calibration of option price models -- $tOptimal consumption and investment with bounded downside risk measures for logarithmic utility functions -- $tA review of some recent results on Malliavin Calculus and its applications -- $tThe numeraire portfolio in discrete time: existence, related concepts and applications -- $tA worst-case approach to continuous-time portfolio optimisation -- $tTime consistency and information monotonicity of multiperiod acceptability functionals -- $tOptimal investment and hedging under partial and inside information -- $tInvestment/consumption choice in illiquid markets with random trading times -- $tOptimal asset allocation in a stochastic factor model - an overview and open problems 330 $aThis book is a collection of state-of-the-art surveys on various topics in mathematical finance, with an emphasis on recent modelling and computational approaches. The volume is related to a 'Special Semester on Stochastics with Emphasis on Finance' that took place from September to December 2008 at the Johann Radon Institute for Computational and Applied Mathematics of the Austrian Academy of Sciences in Linz, Austria. 410 0$aRadon series on computational and applied mathematics ;$v8. 606 $aFinance$xMathematical models 606 $aOptions (Finance)$xMathematical models 606 $aInsurance$xMathematics 606 $aStochastic differential equations 606 $aMathematical optimization 606 $aFinancial engineering 608 $aElectronic books. 615 0$aFinance$xMathematical models. 615 0$aOptions (Finance)$xMathematical models. 615 0$aInsurance$xMathematics. 615 0$aStochastic differential equations. 615 0$aMathematical optimization. 615 0$aFinancial engineering. 676 $a519.5 686 $aSK 980$2rvk 701 $aAlbrecher$b Hansjo?rg$0611748 701 $aRunggaldier$b W. J$g(Wolfgang J.)$0104586 701 $aSchachermayer$b Walter$060410 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910457020303321 996 $aAdvanced financial modelling$92449312 997 $aUNINA