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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 | ||
| ||
Financial mathematics : lectures given at the 3rd session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in Bressanone, Italy, July 8-13, 1996 / / B. Biais [and five others] ; editor, W. J. Runggaldier ; Centro internazionale matematico estivo, contributor
| Financial mathematics : lectures given at the 3rd session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in Bressanone, Italy, July 8-13, 1996 / / B. Biais [and five others] ; editor, W. J. Runggaldier ; Centro internazionale matematico estivo, contributor |
| Autore | Biais B (Bruno) |
| Edizione | [1st ed. 1997.] |
| Pubbl/distr/stampa | Berlin ; ; New York : , : Springer, , [1997] |
| Descrizione fisica | 1 online resource (VII, 316 p.) |
| Disciplina | 650.01513 |
| Collana | Lecture notes in mathematics |
| Soggetto topico | Business mathematics |
| ISBN | 3-540-68356-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Risk sharing, adverse selection and market structure -- Interest rate theory -- Optimal trading under constraints -- Non-linear pricing theory and backward stochastic differential equations -- Market imperfections, equilibrium and arbitrage. |
| Record Nr. | UNINA-9910146286203321 |
Biais B (Bruno)
|
||
| Berlin ; ; New York : , : Springer, , [1997] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial mathematics : lectures given at the 3rd session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in Bressanone, Italy, July 8-13, 1996 / / B. Biais [and five others] ; editor, W. J. Runggaldier ; Centro internazionale matematico estivo, contributor
| Financial mathematics : lectures given at the 3rd session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in Bressanone, Italy, July 8-13, 1996 / / B. Biais [and five others] ; editor, W. J. Runggaldier ; Centro internazionale matematico estivo, contributor |
| Autore | Biais B (Bruno) |
| Edizione | [1st ed. 1997.] |
| Pubbl/distr/stampa | Berlin ; ; New York : , : Springer, , [1997] |
| Descrizione fisica | 1 online resource (VII, 316 p.) |
| Disciplina | 650.01513 |
| Collana | Lecture notes in mathematics |
| Soggetto topico | Business mathematics |
| ISBN | 3-540-68356-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Risk sharing, adverse selection and market structure -- Interest rate theory -- Optimal trading under constraints -- Non-linear pricing theory and backward stochastic differential equations -- Market imperfections, equilibrium and arbitrage. |
| Record Nr. | UNISA-996466655803316 |
|
Biais B (Bruno)
|
||
| Berlin ; ; New York : , : Springer, , [1997] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||