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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 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 | ||
| ||
Ill-posed and non-classical problems of mathematical physics and analysis : proceedings of the international conference, Samarkand, Uzbekistan / / editor-in-chief, M.M. Lavrent'ev ; managing editor, S.I. Kabanikhin ; editorial board, Akb.H. Begmatov [and others]
| Ill-posed and non-classical problems of mathematical physics and analysis : proceedings of the international conference, Samarkand, Uzbekistan / / editor-in-chief, M.M. Lavrent'ev ; managing editor, S.I. Kabanikhin ; editorial board, Akb.H. Begmatov [and others] |
| Edizione | [Reprint 2014] |
| Pubbl/distr/stampa | Utrecht ; ; Boston : , : VSP, , 2003 |
| Descrizione fisica | 1 online resource (213 pages) : illustrations |
| Collana | Inverse and ill-posed problems series |
| Soggetto topico |
Differential equations, Partial - Improperly posed problems
Mathematical physics Mathematical analysis |
| Soggetto non controllato |
Analysis
Boundary Value Problems Differential Equations Equations of Mixed Type Ill-Posed Problems Integral Geometry Inverse Problems Mathematical Modelling Mathematical Physics Natural Sciences Numerical Methods |
| ISBN | 3-11-093652-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Preface -- Problems of integral geometry on curves and surfaces in Euclidean space / Begmatov, Akbar H. / Begmatov, Akram H. -- Existence of solutions of the first boundary-value problem for the third order equations of mixed type in unbounded domain / Djuraev, T. D. / Hashimov, A. R. -- On the monotone error rule for choosing the regularization parameter in ill-posed problems / Hämarik, U. / Tautenhahn, U. -- Well-posedness of one-dimensional inverse acoustic problem in Li for small depth or small data / Kabanikhin, S.I. / Iskakov, K.T. / Yamamoto, M. -- Fourier series in Banach spaces / Khadjiev, DJ. / Çavuş, A. -- Ill-posed and inverse problems for hyperbolic equations / Lavrent'ev, M. M. -- Systems of linear integral equations of Volterra type with singular and super-singular kernels / Rajabov, N. -- Inverses of a family of bounded linear operators, generalized pythagorean theorems and reproducing kernels / Saitoh, S. -- Cauchy problem for the Helmholtz equation / Yarmukhamedov, Sh. / Yarmukhamedov, I. -- On problem for a third order equation with multiple characteristics / Abdinazarov, S. / Kholboev, B. M. -- On uniqueness and stability of solution of the Cauchy problem for pseudoparabolie equation / Amonov, B. K. / Kobilov, S. S. -- Uniqueness theorem for an unbounded domain / Ashurova, Z. R. / Zhuraev, Yu. J. -- Recovery of a function set by integrals along a curve family in the plane / Begmatov, A. H. / Ochilov, Z. H. -- Uniqueness of extension of solutions of differential equations of the second order / Haidarov, A. / Shodiev, D. |
| Record Nr. | UNINA-9910788952503321 |
| Utrecht ; ; Boston : , : VSP, , 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Ill-posed and non-classical problems of mathematical physics and analysis : proceedings of the international conference, Samarkand, Uzbekistan / / editor-in-chief, M.M. Lavrent'ev ; managing editor, S.I. Kabanikhin ; editorial board, Akb.H. Begmatov [and others]
| Ill-posed and non-classical problems of mathematical physics and analysis : proceedings of the international conference, Samarkand, Uzbekistan / / editor-in-chief, M.M. Lavrent'ev ; managing editor, S.I. Kabanikhin ; editorial board, Akb.H. Begmatov [and others] |
| Edizione | [Reprint 2014] |
| Pubbl/distr/stampa | Utrecht ; ; Boston : , : VSP, , 2003 |
| Descrizione fisica | 1 online resource (213 pages) : illustrations |
| Collana | Inverse and ill-posed problems series |
| Soggetto topico |
Differential equations, Partial - Improperly posed problems
Mathematical physics Mathematical analysis |
| Soggetto non controllato |
Analysis
Boundary Value Problems Differential Equations Equations of Mixed Type Ill-Posed Problems Integral Geometry Inverse Problems Mathematical Modelling Mathematical Physics Natural Sciences Numerical Methods |
| ISBN | 3-11-093652-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Preface -- Problems of integral geometry on curves and surfaces in Euclidean space / Begmatov, Akbar H. / Begmatov, Akram H. -- Existence of solutions of the first boundary-value problem for the third order equations of mixed type in unbounded domain / Djuraev, T. D. / Hashimov, A. R. -- On the monotone error rule for choosing the regularization parameter in ill-posed problems / Hämarik, U. / Tautenhahn, U. -- Well-posedness of one-dimensional inverse acoustic problem in Li for small depth or small data / Kabanikhin, S.I. / Iskakov, K.T. / Yamamoto, M. -- Fourier series in Banach spaces / Khadjiev, DJ. / Çavuş, A. -- Ill-posed and inverse problems for hyperbolic equations / Lavrent'ev, M. M. -- Systems of linear integral equations of Volterra type with singular and super-singular kernels / Rajabov, N. -- Inverses of a family of bounded linear operators, generalized pythagorean theorems and reproducing kernels / Saitoh, S. -- Cauchy problem for the Helmholtz equation / Yarmukhamedov, Sh. / Yarmukhamedov, I. -- On problem for a third order equation with multiple characteristics / Abdinazarov, S. / Kholboev, B. M. -- On uniqueness and stability of solution of the Cauchy problem for pseudoparabolie equation / Amonov, B. K. / Kobilov, S. S. -- Uniqueness theorem for an unbounded domain / Ashurova, Z. R. / Zhuraev, Yu. J. -- Recovery of a function set by integrals along a curve family in the plane / Begmatov, A. H. / Ochilov, Z. H. -- Uniqueness of extension of solutions of differential equations of the second order / Haidarov, A. / Shodiev, D. |
| Record Nr. | UNINA-9910809092703321 |
| Utrecht ; ; Boston : , : VSP, , 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||