Advanced Financial Modelling Radon Series on Computational and Applied Mathematics 1st Edition by Hansjörg Albrecher, Hansjorg Albrecher, Wolfgang Runggaldier, Walter Schachermayer 3110213133 9783110213133

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Product details:

ISBN 10: 3110213133 

ISBN 13: 9783110213133

Author: Hansjörg Albrecher, Hansjorg Albrecher, Wolfgang J. Runggaldier, Walter Schachermayer

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.

Table of contents:

1. Brownian Semistationary Processes and Volatility/Intermittency

2. From Bounds on Optimal Growth Towards a Theory of Good-Deal Hedging

3. Viscosity Solutions to Optimal Portfolio Allocation Problems in Models with Random Time Changes and Transaction Costs

4. Discrete-Time Approximation of BSDEs and Probabilistic Schemes for Fully Nonlinear PDEs

5. Affine Diffusion Processes: Theory and Applications

6. Multilevel Quasi-Monte Carlo Path Simulation

7. Modelling Default and Prepayment Using Lévy Processes: An Application to Asset-Backed Securities

8. Adaptive Variance Reduction Techniques in Finance

9. Regularisation of Inverse Problems and Its Application to the Calibration of Option Price Models

10. Optimal Consumption and Investment with Bounded Downside Risk Measures for Logarithmic Utility Functions

11. A Review of Some Recent Results on Malliavin Calculus and Its Applications

12. The Numeraire Portfolio in Discrete Time: Existence, Related Concepts and Applications

13. A Worst-Case Approach to Continuous-Time Portfolio Optimisation

14. Time Consistency and Information Monotonicity of Multiperiod Acceptability Functionals

15. Optimal Investment and Hedging under Partial and Inside Information

16. Investment/Consumption Choice in Illiquid Markets with Random Trading Times

17. Optimal Asset Allocation in a Stochastic Factor Model – An Overview and Open Problems

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Tags: Hansjörg Albrecher, Hansjorg Albrecher, Advanced, Financial