Advanced Financial Modelling

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Hansjörg Albrecher, Wolfgang J. Runggaldier, Walter Schachermayer
Walter de Gruyter, Dec 15, 2009 - Mathematics - 461 pages
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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.
 

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Contents

Brownian semistationary processes and volatilityintermittency
1
From bounds on optimal growth towards a theory of gooddeal hedging
27
Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs
53
Discretetime approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs
91
theory and applications
125
Multilevel quasiMonte Carlo path simulation
165
an application to asset backed securities
183
Adaptive variance reduction techniques in finance
205
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
245
A review of some recent results on Malliavin Calculus and its applications
275
existence related concepts and applications
303
A worstcase approach to continuoustime portfolio optimisation
327
Time consistency and information monotonicity of multiperiod acceptability functionals
347
Optimal investment and hedging under partial and inside information
371
Investmentconsumption choice in illiquid markets with random trading times
411
Optimal asset allocation in a stochastic factor model an overview and open problems
427

Regularisation of inverse problems and its application to the calibration of option price models
223

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About the author (2009)

Hansjörg Albrecher, Austrian Academy of Sciences, Linz, Austria; Wolfgang J. Runggaldier, Università degli Studi di Padova, Italy; Walter Schachermayer, University of Technology, Vienna, Austria.