UID:
almahu_9949462255902882
Format:
1 online resource (453 p.)
ISBN:
9783110213140
,
9783110238570
Series Statement:
Radon Series on Computational and Applied Mathematics , 8
Content:
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.
Note:
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
,
Issued also in print.
,
Mode of access: Internet via World Wide Web.
,
In English.
In:
DGBA Backlist Complete English Language 2000-2014 PART1, De Gruyter, 9783110238570
In:
DGBA Backlist Mathematics 2000-2014 (EN), De Gruyter, 9783110238471
In:
DGBA Mathematics - 2000 - 2014, De Gruyter, 9783110637205
In:
E-BOOK GESAMTPAKET / COMPLETE PACKAGE 2009, De Gruyter, 9783110219517
In:
E-BOOK PACKAGE ENGLISH LANGUAGES TITLES 2009, De Gruyter, 9783110219524
In:
E-BOOK PAKET SCIENCE TECHNOLOGY AND MEDICINE 2009, De Gruyter, 9783110219463
In:
Radon Series on Applied Mathematics eBook-Package, De Gruyter, 9783110647174
Additional Edition:
ISBN 9783110213133
Language:
English
Subjects:
Mathematics
DOI:
10.1515/9783110213140
URL:
https://doi.org/10.1515/9783110213140
URL:
https://www.degruyter.com/isbn/9783110213140
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