TY  - BOOK
AU  - Albrecher,Hansjörg
AU  - BARNDORFF-NIELSEN,O.E.
AU  - BECHERER,D.
AU  - BLANCHET-SCALLIET,C.
AU  - Bouchard,B.
AU  - Damme,G.
AU  - Elie,R.
AU  - Filipović,D.
AU  - GIBSON BRANDON,R.
AU  - Giles,M.B.
AU  - Jourdain,B.
AU  - Jönsson,H.
AU  - Kindermann,S.
AU  - Klüppelberg,C.
AU  - Kohatsu-Higa,A.
AU  - Korn,R.
AU  - Kovacevic,R.
AU  - Mayerhofer,E.
AU  - Monoyios,M.
AU  - Pergamenshchikov,S.
AU  - Pflug,G.Ch
AU  - Pham,H.
AU  - Pikkarainen,H.K.
AU  - Runggaldier,Wolfgang J.
AU  - SAPORTA,B.
AU  - SCHMIEGEL,J.
AU  - Schachermayer,Walter
AU  - Schoutens,W.
AU  - Schäl,M.
AU  - Seifried,F.
AU  - Talay,D.
AU  - Tanré,E.
AU  - Touzi,N.
AU  - Waterhouse,B.J.
AU  - Yasuda,K.
AU  - Zariphopoulou,T.
TI  - Advanced Financial Modelling
T2  - Radon Series on Computational and Applied Mathematics ,
SN  - 9783110213133
AV  - HG106 .A34 2009eb
U1  - 332.01519 22/ger
PY  - 2009///]
CY  - Berlin, Boston : 
PB  - De Gruyter, 
KW  - Finance
KW  - Mathematical models
KW  - Financial engineering
KW  - Insurance
KW  - Mathematics
KW  - Mathematical optimization
KW  - Options (Finance)
KW  - Stochastic differential equations
KW  - Finanzmathematik
KW  - Modellierung
KW  - Optimierung
KW  - Stochastische Differentialgleichung
KW  - Versicherungsmathematik
KW  - MATHEMATICS / Probability & Statistics / General
KW  - bisacsh
KW  - Finance Mathematics
KW  - Insurance Mathematics
KW  - Mathematical Modelling
KW  - Optimization
KW  - Stochastic Differential Equations
N1  - 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; restricted access; Issued also in print
N2  - 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
UR  - https://doi.org/10.1515/9783110213140
UR  - https://www.degruyter.com/isbn/9783110213140
UR  - https://www.degruyter.com/document/cover/isbn/9783110213140/original
ER  -