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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 / / edited by Hansjörg Albrecher, Wolfgang J. Runggaldier, Walter Schachermayer
| Advanced financial modelling / / edited by Hansjörg Albrecher, Wolfgang J. Runggaldier, Walter Schachermayer |
| Edizione | [1st ed.] |
| 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 | ||
| ||
Analytic theory of Itô-stochastic differential equations with non-smooth coefficients / / Haesung Lee, Wilhelm Stannat, Gerald Trutnau
| Analytic theory of Itô-stochastic differential equations with non-smooth coefficients / / Haesung Lee, Wilhelm Stannat, Gerald Trutnau |
| Autore | Lee Haesung |
| Pubbl/distr/stampa | Singapore : , : Springer, , [2022] |
| Descrizione fisica | 1 online resource (139 pages) |
| Disciplina | 519.2 |
| Collana | SpringerBriefs in probability and mathematical statistics |
| Soggetto topico |
Stochastic differential equations
Equacions diferencials estocàstiques |
| Soggetto genere / forma | Llibres electrònics |
| ISBN | 981-19-3831-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Intro -- Acknowledgments -- Contents -- Notations and Conventions -- 1 Introduction -- 1.1 Methods and Results -- 1.2 Organization of the Book -- 2 The Abstract Cauchy Problem in Lr-Spaces with Weights -- 2.1 The Abstract Setting, Existence and Uniqueness -- 2.1.1 Framework and Basic Notations -- 2.1.2 Existence of Maximal Extensions on Rd -- 2.1.2.1 Existence of Maximal Extensions on Relatively Compact Subsets VRd -- 2.1.2.2 Existence of Maximal Extensions on the Full Domain Rd -- 2.1.3 Uniqueness of Maximal Extensions on Rd -- 2.1.3.1 Uniqueness of (L, D(L0)0,b) -- 2.1.3.2 Uniqueness of (L, C0∞(Rd )) -- 2.2 Existence and Regularity of Densities to Infinitesimally Invariant Measures -- 2.2.1 Class of Admissible Coefficients and the Main Theorem -- 2.2.2 Proofs -- 2.2.3 Discussion -- 2.3 Regular Solutions to the Abstract Cauchy Problem -- 2.4 Irreducibility of Solutions to the Abstract Cauchy Problem -- 2.5 Comments and References to Related Literature -- 3 Stochastic Differential Equations -- 3.1 Existence -- 3.1.1 Regular Solutions to the Abstract Cauchy Problem as Transition Functions -- 3.1.2 Construction of a Hunt Process -- 3.1.3 Krylov-type Estimate -- 3.1.4 Identification of the Stochastic Differential Equation -- 3.2 Global Properties -- 3.2.1 Non-explosion Results and Moment Inequalities -- 3.2.2 Transience and Recurrence -- 3.2.3 Long Time Behavior: Ergodicity, Existence and Uniqueness of Invariant Measures, Examples/Counterexamples -- 3.3 Uniqueness -- 3.3.1 Pathwise Uniqueness and Strong Solutions -- 3.3.2 Uniqueness in Law (Via L1-Uniqueness) -- 3.4 Comments and References to Related Literature -- 4 Conclusion and Outlook -- References -- Index. |
| Record Nr. | UNINA-9910590068703321 |
Lee Haesung
|
||
| Singapore : , : Springer, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Analytic theory of Itô-stochastic differential equations with non-smooth coefficients / / Haesung Lee, Wilhelm Stannat, Gerald Trutnau
| Analytic theory of Itô-stochastic differential equations with non-smooth coefficients / / Haesung Lee, Wilhelm Stannat, Gerald Trutnau |
| Autore | Lee Haesung |
| Pubbl/distr/stampa | Singapore : , : Springer, , [2022] |
| Descrizione fisica | 1 online resource (139 pages) |
| Disciplina | 519.2 |
| Collana | SpringerBriefs in probability and mathematical statistics |
| Soggetto topico |
Stochastic differential equations
Equacions diferencials estocàstiques |
| Soggetto genere / forma | Llibres electrònics |
| ISBN | 981-19-3831-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Intro -- Acknowledgments -- Contents -- Notations and Conventions -- 1 Introduction -- 1.1 Methods and Results -- 1.2 Organization of the Book -- 2 The Abstract Cauchy Problem in Lr-Spaces with Weights -- 2.1 The Abstract Setting, Existence and Uniqueness -- 2.1.1 Framework and Basic Notations -- 2.1.2 Existence of Maximal Extensions on Rd -- 2.1.2.1 Existence of Maximal Extensions on Relatively Compact Subsets VRd -- 2.1.2.2 Existence of Maximal Extensions on the Full Domain Rd -- 2.1.3 Uniqueness of Maximal Extensions on Rd -- 2.1.3.1 Uniqueness of (L, D(L0)0,b) -- 2.1.3.2 Uniqueness of (L, C0∞(Rd )) -- 2.2 Existence and Regularity of Densities to Infinitesimally Invariant Measures -- 2.2.1 Class of Admissible Coefficients and the Main Theorem -- 2.2.2 Proofs -- 2.2.3 Discussion -- 2.3 Regular Solutions to the Abstract Cauchy Problem -- 2.4 Irreducibility of Solutions to the Abstract Cauchy Problem -- 2.5 Comments and References to Related Literature -- 3 Stochastic Differential Equations -- 3.1 Existence -- 3.1.1 Regular Solutions to the Abstract Cauchy Problem as Transition Functions -- 3.1.2 Construction of a Hunt Process -- 3.1.3 Krylov-type Estimate -- 3.1.4 Identification of the Stochastic Differential Equation -- 3.2 Global Properties -- 3.2.1 Non-explosion Results and Moment Inequalities -- 3.2.2 Transience and Recurrence -- 3.2.3 Long Time Behavior: Ergodicity, Existence and Uniqueness of Invariant Measures, Examples/Counterexamples -- 3.3 Uniqueness -- 3.3.1 Pathwise Uniqueness and Strong Solutions -- 3.3.2 Uniqueness in Law (Via L1-Uniqueness) -- 3.4 Comments and References to Related Literature -- 4 Conclusion and Outlook -- References -- Index. |
| Record Nr. | UNISA-996485661203316 |
|
Lee Haesung
|
||
| Singapore : , : Springer, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Anticipative Girsanov transformations and Skorohod stochastic differential equations / / Rainer Buckdahn
| Anticipative Girsanov transformations and Skorohod stochastic differential equations / / Rainer Buckdahn |
| Autore | Buckdahn Rainer |
| Pubbl/distr/stampa | Providence, Rhode Island : , : American Mathematical Society, , 1994 |
| Descrizione fisica | 1 online resource (102 p.) |
| Disciplina | 519.2 |
| Collana | Memoirs of the American Mathematical Society |
| Soggetto topico | Stochastic differential equations |
| Soggetto genere / forma | Electronic books. |
| ISBN | 1-4704-0112-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Contents""; ""Abstract""; ""1 Anticipative stochastic calculus""; ""2 Anticipative Girsanov transformation""; ""2.1 Stochastic calculus for transformations. Short Review""; ""2.2 Transformations given by a smooth flow""; ""2.3 Transformations given by a flow adapted to some enlarged filtration""; ""2.4 Transformations defined by a smooth shift""; ""2.5 Transformations denned by a shift adapted to some enlarged filtration""; ""3 Anticipative stochastic differential equations""; ""3.1 Basic notions. Skorohod integral on balls""; ""3.2 Linear Skorohod stochastic differential equations""
""3.3 Nonlinear Skorohod stochastic differential equations""""3.4 Skorohod stochastic differential equations with boundary condition""; ""References"" |
| Record Nr. | UNINA-9910480053103321 |
|
Buckdahn Rainer
|
||
| Providence, Rhode Island : , : American Mathematical Society, , 1994 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Anticipative Girsanov transformations and Skorohod stochastic differential equations / / Rainer Buckdahn
| Anticipative Girsanov transformations and Skorohod stochastic differential equations / / Rainer Buckdahn |
| Autore | Buckdahn Rainer |
| Pubbl/distr/stampa | Providence, Rhode Island : , : American Mathematical Society, , 1994 |
| Descrizione fisica | 1 online resource (102 p.) |
| Disciplina | 519.2 |
| Collana | Memoirs of the American Mathematical Society |
| Soggetto topico | Stochastic differential equations |
| ISBN | 1-4704-0112-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Contents""; ""Abstract""; ""1 Anticipative stochastic calculus""; ""2 Anticipative Girsanov transformation""; ""2.1 Stochastic calculus for transformations. Short Review""; ""2.2 Transformations given by a smooth flow""; ""2.3 Transformations given by a flow adapted to some enlarged filtration""; ""2.4 Transformations defined by a smooth shift""; ""2.5 Transformations denned by a shift adapted to some enlarged filtration""; ""3 Anticipative stochastic differential equations""; ""3.1 Basic notions. Skorohod integral on balls""; ""3.2 Linear Skorohod stochastic differential equations""
""3.3 Nonlinear Skorohod stochastic differential equations""""3.4 Skorohod stochastic differential equations with boundary condition""; ""References"" |
| Record Nr. | UNINA-9910788755603321 |
|
Buckdahn Rainer
|
||
| Providence, Rhode Island : , : American Mathematical Society, , 1994 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Anticipative Girsanov transformations and Skorohod stochastic differential equations / / Rainer Buckdahn
| Anticipative Girsanov transformations and Skorohod stochastic differential equations / / Rainer Buckdahn |
| Autore | Buckdahn Rainer |
| Pubbl/distr/stampa | Providence, Rhode Island : , : American Mathematical Society, , 1994 |
| Descrizione fisica | 1 online resource (102 p.) |
| Disciplina | 519.2 |
| Collana | Memoirs of the American Mathematical Society |
| Soggetto topico | Stochastic differential equations |
| ISBN | 1-4704-0112-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Contents""; ""Abstract""; ""1 Anticipative stochastic calculus""; ""2 Anticipative Girsanov transformation""; ""2.1 Stochastic calculus for transformations. Short Review""; ""2.2 Transformations given by a smooth flow""; ""2.3 Transformations given by a flow adapted to some enlarged filtration""; ""2.4 Transformations defined by a smooth shift""; ""2.5 Transformations denned by a shift adapted to some enlarged filtration""; ""3 Anticipative stochastic differential equations""; ""3.1 Basic notions. Skorohod integral on balls""; ""3.2 Linear Skorohod stochastic differential equations""
""3.3 Nonlinear Skorohod stochastic differential equations""""3.4 Skorohod stochastic differential equations with boundary condition""; ""References"" |
| Record Nr. | UNINA-9910828267403321 |
|
Buckdahn Rainer
|
||
| Providence, Rhode Island : , : American Mathematical Society, , 1994 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Asymptotic methods in the theory of stochastic differential equations / A. V. Skorokhod ; [translated from the Russian by H. H. McFaden ; translation edited by Ben Silver]
| Asymptotic methods in the theory of stochastic differential equations / A. V. Skorokhod ; [translated from the Russian by H. H. McFaden ; translation edited by Ben Silver] |
| Autore | Skorokhod, Anatolii Vladimirovich |
| Pubbl/distr/stampa | Providence, R.I. : American Mathematical Society, c1989 |
| Descrizione fisica | xvi, 339 p. ; 24 cm. |
| Disciplina | 519.2 |
| Collana | Translations of mathematical monographs, 0065-9282 ; 78 |
| Soggetto topico |
Asymptotic expansions
Stochastic differential equations |
| ISBN | 0821845314 |
| Classificazione |
AMS 60H10
AMS 34F05 AMS 60-02 AMS 60J60 QA274.23.S5313 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991000704089707536 |
|
Skorokhod, Anatolii Vladimirovich
|
||
| Providence, R.I. : American Mathematical Society, c1989 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
A concise course on stochastic partial differential equations / / Claudia Prévôt, Michael Röckner
| A concise course on stochastic partial differential equations / / Claudia Prévôt, Michael Röckner |
| Autore | Prévôt Claudia |
| Edizione | [1st ed. 2007.] |
| Pubbl/distr/stampa | Berlin, Germany ; ; New York, New York : , : Springer, , [2007] |
| Descrizione fisica | 1 online resource (148 p.) |
| Disciplina | 519.2 |
| Collana | Lecture Notes in Mathematics |
| Soggetto topico | Stochastic differential equations |
| ISBN |
1-280-90216-7
9786610902163 3-540-70781-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Motivation, Aims and Examples -- Stochastic Integral in Hilbert spaces -- Stochastic Differential Equations in Finite Dimensions -- A Class of Stochastic Differential Equations in Banach Spaces -- Appendices: The Bochner Integral -- Nuclear and Hilbert-Schmidt Operators -- Pseudo Invers of Linear Operators -- Some Tools from Real Martingale Theory -- Weak and Strong Solutions: the Yamada-Watanabe Theorem -- Strong, Mild and Weak Solutions. |
| Record Nr. | UNISA-996466625903316 |
|
Prévôt Claudia
|
||
| Berlin, Germany ; ; New York, New York : , : Springer, , [2007] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
