Albrecher / Runggaldier / Schachermayer Advanced Financial Modelling

1. Auflage 2009
ISBN: 978-3-11-021314-0
Verlag: De Gruyter
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, Band 8, 461 Seiten, Format (B × H): 170 mm x 240 mm, Gewicht: 10 g

Reihe: Radon Series on Computational and Applied MathematicsISSN

This book is a collection of state–of–the–art surveys on various topics in mathematical finance, with an emphasis on recent modelling and computational approaches. The volume is related to a 'Special Semester on Stochastics with Emphasis on Finance' that took place from September to December 2008 at the Johann Radon Institute for Computational and Applied Mathematics of the Austrian Academy of Sciences in Linz, Austria.

Zielgruppe

Researchers, Graduate Students of Mathematics; Academic Libraries

Autoren/Hrsg.

Albrecher, Hansjörg

Runggaldier, Wolfgang J.

Schachermayer, Walter

Fachgebiete

• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik

Inhaltsverzeichnis

1;Preface;6
2;Contents;8
3;Brownian semistationary processes and volatility/intermittency;10
4;From bounds on optimal growth towards a theory of good-deal hedging;36
5;Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs;62
6;Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs;100
7;Affine diffusion processes: theory and applications;134
8;Multilevel quasi-Monte Carlo path simulation;174
9;Modelling default and prepayment using Lévy processes: an application to asset backed securities;192
10;Adaptive variance reduction techniques in finance;214
11;Regularisation of inverse problems and its application to the calibration of option price models;232
12;Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions;254
13;A review of some recent results on Malliavin Calculus and its applications;284
14;The numeraire portfolio in discrete time: existence, related concepts and applications;312
15;A worst-case approach to continuous-time portfolio optimisation;336
16;Time consistency and information monotonicity of multiperiod acceptability functionals;356
17;Optimal investment and hedging under partial and inside information;380
18;Investment/consumption choice in illiquid markets with random trading times;420
19;Optimal asset allocation in a stochastic factor model – an overview and open problems;436

Über Autor(innen)

Runggaldier, Wolfgang J.
Wolfgang J. Runggaldier, Università degli Studi di Padova, Italy;

Albrecher, Hansjörg
Hansjörg Albrecher, Austrian Academy of Sciences, Linz, Austria;

Schachermayer, Walter
Walter Schachermayer, University of Technology, Vienna, Austria.

Hansjörg Albrecher, Austrian Academy of Sciences, Linz, Austria; Wolfgang J. Runggaldier, Università degli Studi di Padova, Italy; Walter Schachermayer, University of Technology, Vienna, Austria.