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Advanced financial modelling [[electronic resource] /] / edited by Hansjörg Albrecher, Wolfgang J. Runggaldier, Walter Schachermayer
| Advanced financial modelling [[electronic resource] /] / edited by Hansjörg Albrecher, Wolfgang J. Runggaldier, Walter Schachermayer |
| Pubbl/distr/stampa | Berlin ; ; New York, : Walter de Gruyter, c2009 |
| Descrizione fisica | 1 online resource (464 p.) |
| Disciplina | 519.5 |
| Altri autori (Persone) |
AlbrecherHansjörg
RunggaldierW. J (Wolfgang J.) SchachermayerWalter |
| Collana | Radon series on computational and applied mathematics |
| Soggetto topico |
Finance - Mathematical models
Options (Finance) - Mathematical models Insurance - Mathematics Stochastic differential equations Mathematical optimization Financial engineering |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-45684-9
9786612456848 3-11-021314-1 |
| Classificazione | SK 980 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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 problems |
| Record Nr. | UNINA-9910457020303321 |
| Berlin ; ; New York, : Walter de Gruyter, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advanced financial modelling [[electronic resource] /] / edited by Hansjörg Albrecher, Wolfgang J. Runggaldier, Walter Schachermayer
| Advanced financial modelling [[electronic resource] /] / edited by Hansjörg Albrecher, Wolfgang J. Runggaldier, Walter Schachermayer |
| Pubbl/distr/stampa | Berlin ; ; New York, : Walter de Gruyter, c2009 |
| Descrizione fisica | 1 online resource (464 p.) |
| Disciplina | 519.5 |
| Altri autori (Persone) |
AlbrecherHansjörg
RunggaldierW. J (Wolfgang J.) SchachermayerWalter |
| Collana | Radon series on computational and applied mathematics |
| Soggetto topico |
Finance - Mathematical models
Options (Finance) - Mathematical models Insurance - Mathematics Stochastic differential equations Mathematical optimization Financial engineering |
| Soggetto non controllato |
Finance Mathematics
Insurance Mathematics Mathematical Modelling Optimization Stochastic Differential Equations |
| ISBN |
1-282-45684-9
9786612456848 3-11-021314-1 |
| Classificazione | SK 980 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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 problems |
| Record Nr. | UNINA-9910780922603321 |
| Berlin ; ; New York, : Walter de Gruyter, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Ruin probabilities [[electronic resource] /] / Søren Asmussen, Hansjörg Albrecher
| Ruin probabilities [[electronic resource] /] / Søren Asmussen, Hansjörg Albrecher |
| Autore | Asmussen Søren |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, c2010 |
| Descrizione fisica | 1 online resource (500 p.) |
| Disciplina | 368/.01 |
| Altri autori (Persone) | AlbrecherHansjörg |
| Collana | Advanced series on statistical science & applied probability |
| Soggetto topico |
Insurance - Mathematics
Risk |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-283-14383-6
9786613143839 981-4282-53-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- Martingales and simple ruin calculations -- Further general tools and results -- The compound Poisson model -- The probability of ruin within finite time -- Renewal arrivals -- Risk theory in a Markovian environment -- Level-dependent risk processes -- Matrix-analytic methods -- Ruin probabilities in the presence of heavy tails -- Ruin probabilities for Lévy processes -- Gerber-Shiu functions -- Further models with dependency -- Stochastic control -- Simulation methodology -- Miscellaneous topics. |
| Record Nr. | UNINA-9910463953003321 |
Asmussen Søren
|
||
| Singapore ; ; Hackensack, N.J., : World Scientific, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Ruin probabilities [[electronic resource] /] / Søren Asmussen, Hansjörg Albrecher
| Ruin probabilities [[electronic resource] /] / Søren Asmussen, Hansjörg Albrecher |
| Autore | Asmussen Søren |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, c2010 |
| Descrizione fisica | 1 online resource (500 p.) |
| Disciplina | 368/.01 |
| Altri autori (Persone) | AlbrecherHansjörg |
| Collana | Advanced series on statistical science & applied probability |
| Soggetto topico |
Insurance - Mathematics
Risk |
| ISBN |
1-283-14383-6
9786613143839 981-4282-53-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- Martingales and simple ruin calculations -- Further general tools and results -- The compound Poisson model -- The probability of ruin within finite time -- Renewal arrivals -- Risk theory in a Markovian environment -- Level-dependent risk processes -- Matrix-analytic methods -- Ruin probabilities in the presence of heavy tails -- Ruin probabilities for Lévy processes -- Gerber-Shiu functions -- Further models with dependency -- Stochastic control -- Simulation methodology -- Miscellaneous topics. |
| Record Nr. | UNINA-9910788569003321 |
|
Asmussen Søren
|
||
| Singapore ; ; Hackensack, N.J., : World Scientific, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Ruin probabilities / / Søren Asmussen, Hansjörg Albrecher
| Ruin probabilities / / Søren Asmussen, Hansjörg Albrecher |
| Autore | Asmussen Søren |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, c2010 |
| Descrizione fisica | 1 online resource (500 p.) |
| Disciplina | 368/.01 |
| Altri autori (Persone) | AlbrecherHansjörg |
| Collana | Advanced series on statistical science & applied probability |
| Soggetto topico |
Insurance - Mathematics
Risk |
| ISBN |
1-283-14383-6
9786613143839 981-4282-53-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- Martingales and simple ruin calculations -- Further general tools and results -- The compound Poisson model -- The probability of ruin within finite time -- Renewal arrivals -- Risk theory in a Markovian environment -- Level-dependent risk processes -- Matrix-analytic methods -- Ruin probabilities in the presence of heavy tails -- Ruin probabilities for Lévy processes -- Gerber-Shiu functions -- Further models with dependency -- Stochastic control -- Simulation methodology -- Miscellaneous topics. |
| Record Nr. | UNINA-9910817775303321 |
|
Asmussen Søren
|
||
| Singapore ; ; Hackensack, N.J., : World Scientific, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||