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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 | ||
| ||
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-9910825975403321 |
| Berlin ; ; New York, : Walter de Gruyter, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Lectures on Probability Theory and Statistics [[electronic resource] ] : Ecole d'Eté de Probabilités de Saint-Flour XXX - 2000 / / by Sergio Albeverio, Walter Schachermayer ; edited by Pierre Bernard
| Lectures on Probability Theory and Statistics [[electronic resource] ] : Ecole d'Eté de Probabilités de Saint-Flour XXX - 2000 / / by Sergio Albeverio, Walter Schachermayer ; edited by Pierre Bernard |
| Autore | Albeverio Sergio |
| Edizione | [1st ed. 2003.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2003 |
| Descrizione fisica | 1 online resource (X, 298 p.) |
| Disciplina | 576.58 |
| Collana | École d'Été de Probabilités de Saint-Flour |
| Soggetto topico |
Probabilities
Mathematical physics Economics, Mathematical Probability Theory and Stochastic Processes Theoretical, Mathematical and Computational Physics Quantitative Finance |
| ISBN | 3-540-44922-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Sergio Albeverio: Theory of Dirichlet forms and applications -- Functional analytic background: semigroups, generators, resolvents -- Closed symmetric coercive forms associated with Co-contraction semigroups -- Contraction properties of forms, positivity preserving and submarkovian semigroups -- Potential Theory and Markov Processes associated with Dirichlet Forms -- Diffusions and stochastic differential equations associated with classical Dirichlet forms -- Applications -- Walter Schachermayer: Introduction to the Mathematics of Financial Markets -- Introduction: Bachelier’s Thesis from 1900 -- Models of Financial Markets on Finite Probability Spaces -- The Binomial Model, Bachelier’s Model and the Black-Scholes Model -- The No-Arbitrage Theory for General Processes -- Some Applications of the Fundamental Theorem of Asset Pricing -- Michel Talagrand: Mean field models for spin glasses: a first course -- What this is all about: the REM -- The Sherrington-Kirkpatrick model at high temperature -- The p-spin interaction model -- External field and the replica-symmetric solution -- Exponential inequalities -- Central limit theorems and the Almeida-Thouless line -- Emergence and separation of the lumps in the p-spin interaction model. |
| Record Nr. | UNINA-9910144601803321 |
Albeverio Sergio
|
||
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Lectures on Probability Theory and Statistics [[electronic resource] ] : Ecole d'Eté de Probabilités de Saint-Flour XXX - 2000 / / by Sergio Albeverio, Walter Schachermayer ; edited by Pierre Bernard
| Lectures on Probability Theory and Statistics [[electronic resource] ] : Ecole d'Eté de Probabilités de Saint-Flour XXX - 2000 / / by Sergio Albeverio, Walter Schachermayer ; edited by Pierre Bernard |
| Autore | Albeverio Sergio |
| Edizione | [1st ed. 2003.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2003 |
| Descrizione fisica | 1 online resource (X, 298 p.) |
| Disciplina | 576.58 |
| Collana | École d'Été de Probabilités de Saint-Flour |
| Soggetto topico |
Probabilities
Mathematical physics Economics, Mathematical Probability Theory and Stochastic Processes Theoretical, Mathematical and Computational Physics Quantitative Finance |
| ISBN | 3-540-44922-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Sergio Albeverio: Theory of Dirichlet forms and applications -- Functional analytic background: semigroups, generators, resolvents -- Closed symmetric coercive forms associated with Co-contraction semigroups -- Contraction properties of forms, positivity preserving and submarkovian semigroups -- Potential Theory and Markov Processes associated with Dirichlet Forms -- Diffusions and stochastic differential equations associated with classical Dirichlet forms -- Applications -- Walter Schachermayer: Introduction to the Mathematics of Financial Markets -- Introduction: Bachelier’s Thesis from 1900 -- Models of Financial Markets on Finite Probability Spaces -- The Binomial Model, Bachelier’s Model and the Black-Scholes Model -- The No-Arbitrage Theory for General Processes -- Some Applications of the Fundamental Theorem of Asset Pricing -- Michel Talagrand: Mean field models for spin glasses: a first course -- What this is all about: the REM -- The Sherrington-Kirkpatrick model at high temperature -- The p-spin interaction model -- External field and the replica-symmetric solution -- Exponential inequalities -- Central limit theorems and the Almeida-Thouless line -- Emergence and separation of the lumps in the p-spin interaction model. |
| Record Nr. | UNISA-996466374203316 |
|
Albeverio Sergio
|
||
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Stochastic Methods in Finance [[electronic resource] ] : Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003 / / by Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer ; edited by Marco Frittelli, Wolfgang J. Runggaldier
| Stochastic Methods in Finance [[electronic resource] ] : Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003 / / by Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer ; edited by Marco Frittelli, Wolfgang J. Runggaldier |
| Autore | Back Kerry |
| Edizione | [1st ed. 2004.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2004 |
| Descrizione fisica | 1 online resource (XVI, 312 p.) |
| Disciplina | 510 |
| Collana | C.I.M.E. Foundation Subseries |
| Soggetto topico |
Probabilities
Public finance Economics, Mathematical Game theory System theory Probability Theory and Stochastic Processes Public Economics Quantitative Finance Game Theory, Economics, Social and Behav. Sciences Systems Theory, Control |
| ISBN | 3-540-44644-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface -- Kerry Back: Incomplete and Asymmetric Information in Asset Pricing Theory -- Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski: Modeling and Valuation of Credit Risk -- Christian Hipp: Stochastic Control with Application in Insurance -- Shige Peng: Nonlinear Expectations, Nonlinear Evaluations and Risk Measures -- Walter Schachermayer: Utility Maximisation in Incomplete Markets. |
| Record Nr. | UNINA-9910144617303321 |
|
Back Kerry
|
||
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic Methods in Finance [[electronic resource] ] : Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003 / / by Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer ; edited by Marco Frittelli, Wolfgang J. Runggaldier
| Stochastic Methods in Finance [[electronic resource] ] : Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003 / / by Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer ; edited by Marco Frittelli, Wolfgang J. Runggaldier |
| Autore | Back Kerry |
| Edizione | [1st ed. 2004.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2004 |
| Descrizione fisica | 1 online resource (XVI, 312 p.) |
| Disciplina | 510 |
| Collana | C.I.M.E. Foundation Subseries |
| Soggetto topico |
Probabilities
Public finance Economics, Mathematical Game theory System theory Probability Theory and Stochastic Processes Public Economics Quantitative Finance Game Theory, Economics, Social and Behav. Sciences Systems Theory, Control |
| ISBN | 3-540-44644-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface -- Kerry Back: Incomplete and Asymmetric Information in Asset Pricing Theory -- Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski: Modeling and Valuation of Credit Risk -- Christian Hipp: Stochastic Control with Application in Insurance -- Shige Peng: Nonlinear Expectations, Nonlinear Evaluations and Risk Measures -- Walter Schachermayer: Utility Maximisation in Incomplete Markets. |
| Record Nr. | UNISA-996466484603316 |
|
Back Kerry
|
||
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||