Advanced Financial Modelling (Radon Series on Computational and Applied Mathematics)

✍ Scribed by Hansjörg Albrecher, Wolfgang J. Runggaldier, Walter Schachermayer

• Publisher: de Gruyter
• Tongue: English
• Leaves: 465
• Series: Radon Series on Computational and Applied Mathematics 8
• Edition: 1
• Category: Library

✦ Synopsis

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

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

✦ Subjects

Финансово-экономические дисциплины;Математические методы и моделирование в экономике;