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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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Albrecher, Hansjörg, Runggaldier, W. J. (Wolfgang J.), Schachermayer, Walter
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin ; New York : W. de Gruyter, ©2009.
Colección:Radon series on computational and applied mathematics ; 8.
Temas:
Finance > Mathematical models.
Options (Finance) > Mathematical models.
Insurance > Mathematics.
Stochastic differential equations.
Mathematical optimization.
Financial engineering.
Finances > Modèles mathématiques.
Options (Finances) > Modèles mathématiques.
Assurance > Mathématiques.
Équations différentielles stochastiques.
Optimisation mathématique.
Ingénierie financière.
MATHEMATICS > Probability & Statistics > General.
Stochastische Differentialgleichung
Optimierung
Finanzmathematik
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

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