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El. knyga: Advanced Financial Modelling [De Gruyter E-books]

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  • De Gruyter E-books
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Advanced Financial ModellingDidesnis paveikslėlis
Kitos knygos pagal šią temą:
Wiley OnlineMore info about De Gruyter e-books
Partnerių interneto svetainė: http://dx.doi.org/10.1515/9783110213140
" 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. "

" Hansjörg Albrecher, Austrian Academy of Sciences, Linz, Austria; Wolfgang J. Runggaldier, Universit? degli Studi di Padova, Italy; Walter Schachermayer, University of Technology, Vienna, Austria. "
Preface v
Brownian semistationary processes and volatility/intermittency
1(26)
O. E. Barndorff-Nielsen
J. Schmiegel
From bounds on optimal growth towards a theory of good-deal hedging
27(26)
D. Becherer
Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs
53(38)
C. Blanchet-Scalliet
R. Gibson Brandon
B. De Saporta
D. Talay
E. Tanre
Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs
91(34)
B. Bouchard
R. Elie
N. Touzi
Affine diffusion processes: theory and applications
125(40)
D. Filipovic
E. Mayerhofer
Multilevel quasi-Monte Carlo path simulation
165(18)
M. B. Giles
B. J. Waterhouse
Modelling default and prepayment using Levy processes: an application to asset backed securities
183(22)
H. Jonsson
W. Schoutens
G. Van Damme
Adaptive variance reduction techniques in finance
205(18)
B. Jourdain
Regularisation of inverse problems and its application to the calibration of option price models
223(22)
S. Kindermann
H. K. Pikkarainen
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
245(30)
C. Kluppelberg
S. Pergamenshchikov
A review of some recent results on Malliavin Calculus and its applications
275(28)
A. Kohatsu-Higa
K. Yasuda
The numeraire portfolio in discrete time: existence, related concepts and applications
303(24)
R. Korn
M. Schal
A worst-case approach to continuous-time portfolio optimisation
327(20)
R. Korn
F. Seifried
Time consistency and information monotonicity of multiperiod acceptability functionals
347(24)
R. Kovacevic
G. Ch. Pflug
Optimal investment and hedging under partial and inside information
371(40)
M. Monoyios
Investment/consumption choice in illiquid markets with random trading times
411(16)
H. Pham
Optimal asset allocation in a stochastic factor model - an overview and open problems
427
T. Zariphopoulou
Hansjörg Albrecher, Austrian Academy of Sciences, Linz, Austria; Wolfgang J. Runggaldier, Universitą degli Studi di Padova, Italy; Walter Schachermayer, University of Technology, Vienna, Austria.
Pastovi nuoroda: https://www.kriso.lt/db/9783110213140_pe.html