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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 | ||
| ||
American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov
| American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov |
| Autore | Silvestrov Dmitrii S. |
| Pubbl/distr/stampa | Berlin, Germany : , : De Gruyter, , 2015 |
| Descrizione fisica | 1 online resource (572 p.) |
| Disciplina | 332.6453 |
| Collana | De Gruyter Studies in Mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Stochastic approximation Business mathematics |
| Soggetto genere / forma | Electronic books. |
| ISBN |
3-11-038990-8
3-11-032984-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Preface -- Contents -- 1 Reward approximations for autoregressive log-price processes (LPP) -- 2 Reward approximations for autoregressive stochastic volatility LPP -- 3 American-type options for continuous time Markov LPP -- 4 Upper bounds for option rewards for Markov LPP -- 5 Time-skeleton reward approximations for Markov LPP -- 6 Time-space-skeleton reward approximations for Markov LPP -- 7 Convergence of option rewards for continuous time Markov LPP -- 8 Convergence of option rewards for diffusion LPP -- 9 European, knockout, reselling and random pay-off options -- 10 Results of experimental studies -- Bibliographical Remarks -- Bibliography -- Index -- De Gruyter Studies in Mathematics |
| Record Nr. | UNINA-9910464447303321 |
Silvestrov Dmitrii S.
|
||
| Berlin, Germany : , : De Gruyter, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov
| American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov |
| Autore | Silvestrov Dmitrii S. |
| Pubbl/distr/stampa | Berlin, Germany : , : De Gruyter, , 2015 |
| Descrizione fisica | 1 online resource (572 p.) |
| Disciplina | 332.6453 |
| Collana | De Gruyter Studies in Mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Stochastic approximation Business mathematics |
| Soggetto non controllato | American option, Optimal stopping, Convergence of rewards, Markov chain, Approximation algorithm |
| ISBN |
3-11-038990-8
3-11-032984-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Preface -- Contents -- 1 Reward approximations for autoregressive log-price processes (LPP) -- 2 Reward approximations for autoregressive stochastic volatility LPP -- 3 American-type options for continuous time Markov LPP -- 4 Upper bounds for option rewards for Markov LPP -- 5 Time-skeleton reward approximations for Markov LPP -- 6 Time-space-skeleton reward approximations for Markov LPP -- 7 Convergence of option rewards for continuous time Markov LPP -- 8 Convergence of option rewards for diffusion LPP -- 9 European, knockout, reselling and random pay-off options -- 10 Results of experimental studies -- Bibliographical Remarks -- Bibliography -- Index -- De Gruyter Studies in Mathematics |
| Record Nr. | UNINA-9910788816603321 |
|
Silvestrov Dmitrii S.
|
||
| Berlin, Germany : , : De Gruyter, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov
| American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov |
| Autore | Silvestrov Dmitrii S. |
| Pubbl/distr/stampa | Berlin, Germany : , : De Gruyter, , 2015 |
| Descrizione fisica | 1 online resource (572 p.) |
| Disciplina | 332.6453 |
| Collana | De Gruyter Studies in Mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Stochastic approximation Business mathematics |
| Soggetto non controllato | American option, Optimal stopping, Convergence of rewards, Markov chain, Approximation algorithm |
| ISBN |
3-11-038990-8
3-11-032984-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Preface -- Contents -- 1 Reward approximations for autoregressive log-price processes (LPP) -- 2 Reward approximations for autoregressive stochastic volatility LPP -- 3 American-type options for continuous time Markov LPP -- 4 Upper bounds for option rewards for Markov LPP -- 5 Time-skeleton reward approximations for Markov LPP -- 6 Time-space-skeleton reward approximations for Markov LPP -- 7 Convergence of option rewards for continuous time Markov LPP -- 8 Convergence of option rewards for diffusion LPP -- 9 European, knockout, reselling and random pay-off options -- 10 Results of experimental studies -- Bibliographical Remarks -- Bibliography -- Index -- De Gruyter Studies in Mathematics |
| Record Nr. | UNINA-9910822000303321 |
|
Silvestrov Dmitrii S.
|
||
| Berlin, Germany : , : De Gruyter, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
American-type options : stochastic approximation methods. Volume 1 / / Dmitrii S. Silvestrov
| American-type options : stochastic approximation methods. Volume 1 / / Dmitrii S. Silvestrov |
| Autore | Silvestrov Dmitrii S |
| Pubbl/distr/stampa | Berlin : , : De Gruyter, , [2014] |
| Descrizione fisica | 1 online resource (520 p.) |
| Disciplina | 332.6/01/5195 |
| Collana | De Gruyter studies in mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Stochastic approximation Markov processes Business mathematics |
| Soggetto genere / forma | Electronic books. |
| ISBN | 3-11-032982-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Preface -- Contents -- 1. Multivariate modulated Markov log-price processes (LPP) -- 2. American-type options -- 3. Backward recurrence reward algorithms -- 4. Upper bounds for option rewards -- 5. Convergence of option rewards - I -- 6. Convergence of option rewards - II -- 7. Space-skeleton reward approximations -- 8. Convergence of rewards for Markov Gaussian LPP -- 9. Tree-type approximations for Markov Gaussian LPP -- 10. Convergence of tree-type reward approximations -- Bibliographical Remarks -- Bibliography -- Index -- Back matter |
| Record Nr. | UNINA-9910463858603321 |
|
Silvestrov Dmitrii S
|
||
| Berlin : , : De Gruyter, , [2014] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
American-type options : stochastic approximation methods. Volume 1 / / Dmitrii S. Silvestrov
| American-type options : stochastic approximation methods. Volume 1 / / Dmitrii S. Silvestrov |
| Autore | Silvestrov Dmitrii S |
| Pubbl/distr/stampa | Berlin : , : De Gruyter, , [2014] |
| Descrizione fisica | 1 online resource (520 p.) |
| Disciplina | 332.6/01/5195 |
| Collana | De Gruyter studies in mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Stochastic approximation Markov processes Business mathematics |
| Soggetto non controllato |
American Option
Approximation Algorithm Convergence of Rewards Markov Chain Optimal Stopping |
| ISBN | 3-11-032982-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Preface -- Contents -- 1. Multivariate modulated Markov log-price processes (LPP) -- 2. American-type options -- 3. Backward recurrence reward algorithms -- 4. Upper bounds for option rewards -- 5. Convergence of option rewards - I -- 6. Convergence of option rewards - II -- 7. Space-skeleton reward approximations -- 8. Convergence of rewards for Markov Gaussian LPP -- 9. Tree-type approximations for Markov Gaussian LPP -- 10. Convergence of tree-type reward approximations -- Bibliographical Remarks -- Bibliography -- Index -- Back matter |
| Record Nr. | UNINA-9910787756203321 |
|
Silvestrov Dmitrii S
|
||
| Berlin : , : De Gruyter, , [2014] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
American-type options : stochastic approximation methods. Volume 1 / / Dmitrii S. Silvestrov
| American-type options : stochastic approximation methods. Volume 1 / / Dmitrii S. Silvestrov |
| Autore | Silvestrov Dmitrii S |
| Pubbl/distr/stampa | Berlin : , : De Gruyter, , [2014] |
| Descrizione fisica | 1 online resource (520 p.) |
| Disciplina | 332.6/01/5195 |
| Collana | De Gruyter studies in mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Stochastic approximation Markov processes Business mathematics |
| Soggetto non controllato |
American Option
Approximation Algorithm Convergence of Rewards Markov Chain Optimal Stopping |
| ISBN | 3-11-032982-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Preface -- Contents -- 1. Multivariate modulated Markov log-price processes (LPP) -- 2. American-type options -- 3. Backward recurrence reward algorithms -- 4. Upper bounds for option rewards -- 5. Convergence of option rewards - I -- 6. Convergence of option rewards - II -- 7. Space-skeleton reward approximations -- 8. Convergence of rewards for Markov Gaussian LPP -- 9. Tree-type approximations for Markov Gaussian LPP -- 10. Convergence of tree-type reward approximations -- Bibliographical Remarks -- Bibliography -- Index -- Back matter |
| Record Nr. | UNINA-9910814311003321 |
|
Silvestrov Dmitrii S
|
||
| Berlin : , : De Gruyter, , [2014] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An elementary introduction to mathematical finance : options and other topics / Sheldon M. Ross
| An elementary introduction to mathematical finance : options and other topics / Sheldon M. Ross |
| Autore | Ross, Sheldon M. |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Cambridge, U. K. : Cambridge University Press, 2003 |
| Descrizione fisica | xv, 253 p. : ill. ; 24 cm |
| Disciplina | 332.60151 |
| Soggetto topico |
Investments - Mathematics
Stochastic analysis Options (Finance) - Mathematical models Securities - Prices - Mathematical models |
| ISBN | 0521814294 |
| Classificazione |
AMS 91B28
LC HG4515.3.R67 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents: Probability ; Normal random variables ; Geometric Brownian motion ; Interest rates and present value analysis ; Pricing contracts via Arbitrage ; The Arbitrage Theorem ; The Black-Scholes formula ; Additional results on options ; Valuing by expected utility ; Optimization models ; Exotic options ; Beyond geometric Brownian motion models ; Autogressive models and mean reversion. |
| Record Nr. | UNISALENTO-991001560059707536 |
|
Ross, Sheldon M.
|
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| Cambridge, U. K. : Cambridge University Press, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
