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Advanced financial modelling /
Annotation 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 a ~Special Semester on Stochastics with Emphasis on Financea (TM) that took place from September t...
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin ; New York :
W. de Gruyter,
©2009.
|
| Colección: | Radon series on computational and applied mathematics ;
8. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 245 | 0 | 0 | |a Advanced financial modelling / |c edited by Hansjörg Albrecher, Wolfgang J. Runggaldier, Walter Schachermayer. |
| 246 | 3 | |a Advanced financial modeling | |
| 260 | |a Berlin ; |a New York : |b W. de Gruyter, |c ©2009. | ||
| 300 | |a 1 online resource (vi, 453 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
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| 347 | |a data file | ||
| 490 | 1 | |a Radon series on computational and applied mathematics ; |v 8 | |
| 504 | |a Includes bibliographical references. | ||
| 505 | 0 | |a Cover -- 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 Lvy 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. | |
| 588 | 0 | |a Print version record. | |
| 520 | 8 | |a Annotation 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 a ~Special Semester on Stochastics with Emphasis on Financea (TM) 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. | |
| 590 | |a eBooks on EBSCOhost |b EBSCO eBook Subscription Academic Collection - Worldwide | ||
| 650 | 0 | |a Finance |x Mathematical models. | |
| 650 | 0 | |a Options (Finance) |x Mathematical models. | |
| 650 | 0 | |a Insurance |x Mathematics. | |
| 650 | 0 | |a Stochastic differential equations. | |
| 650 | 0 | |a Mathematical optimization. | |
| 650 | 0 | |a Financial engineering. | |
| 650 | 6 | |a Finances |x Modèles mathématiques. | |
| 650 | 6 | |a Options (Finances) |x Modèles mathématiques. | |
| 650 | 6 | |a Assurance |x Mathématiques. | |
| 650 | 6 | |a Équations différentielles stochastiques. | |
| 650 | 6 | |a Optimisation mathématique. | |
| 650 | 6 | |a Ingénierie financière. | |
| 650 | 7 | |a MATHEMATICS |x Probability & Statistics |x General. |2 bisacsh | |
| 650 | 7 | |a Finance |x Mathematical models. |2 fast |0 (OCoLC)fst00924398 | |
| 650 | 7 | |a Financial engineering. |2 fast |0 (OCoLC)fst00924623 | |
| 650 | 7 | |a Insurance |x Mathematics. |2 fast |0 (OCoLC)fst00974576 | |
| 650 | 7 | |a Mathematical optimization. |2 fast |0 (OCoLC)fst01012099 | |
| 650 | 7 | |a Options (Finance) |x Mathematical models. |2 fast |0 (OCoLC)fst01046899 | |
| 650 | 7 | |a Stochastic differential equations. |2 fast |0 (OCoLC)fst01133506 | |
| 650 | 7 | |a Stochastische Differentialgleichung |2 gnd | |
| 650 | 7 | |a Optimierung |2 gnd | |
| 650 | 7 | |a Finanzmathematik |2 gnd | |
| 700 | 1 | |a Albrecher, Hansjörg. | |
| 700 | 1 | |a Runggaldier, W. J. |q (Wolfgang J.) | |
| 700 | 1 | |a Schachermayer, Walter. | |
| 776 | 0 | 8 | |i Print version: |t Advanced financial modelling. |d Berlin ; New York : Walter de Gruyter, ©2009 |z 9783110213133 |w (OCoLC)456186323 |
| 830 | 0 | |a Radon series on computational and applied mathematics ; |v 8. | |
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