Advanced Financial Modelling - Radon Series on Computational and Applied Mathematics
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19

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Published By Walter De Gruyter

9783110213140

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Investment/consumption choice in illiquid markets with random trading times

Advanced Financial Modelling - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110213140.411 ◽

2009 ◽

Keyword(s):

Illiquid Markets ◽

Random Trading Times

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Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs

Advanced Financial Modelling - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110213140.53 ◽

2009 ◽

Keyword(s):

Transaction Costs ◽

Viscosity Solutions ◽

Portfolio Allocation ◽

Optimal Portfolio ◽

Random Time ◽

Allocation Problems ◽

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

Advanced Financial Modelling - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110213140.223 ◽

2009 ◽

Keyword(s):

Inverse Problems ◽

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Modelling default and prepayment using Lévy processes: an application to asset backed securities

Advanced Financial Modelling - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110213140.183 ◽

2009 ◽

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Asset Backed Securities

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Optimal asset allocation in a stochastic factor model – an overview and open problems

Advanced Financial Modelling - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110213140.427 ◽

2009 ◽

Keyword(s):

Asset Allocation ◽

Factor Model ◽

Open Problems ◽

Stochastic Factor ◽

Stochastic Factor Model

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Time consistency and information monotonicity of multiperiod acceptability functionals

Advanced Financial Modelling - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110213140.347 ◽

2009 ◽

Keyword(s):

Time Consistency

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The numeraire portfolio in discrete time: existence, related concepts and applications

Advanced Financial Modelling - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110213140.303 ◽

2009 ◽

Keyword(s):

Discrete Time ◽

Numéraire Portfolio ◽

Time Existence ◽

Numeraire Portfolio

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From bounds on optimal growth towards a theory of good-deal hedging

Advanced Financial Modelling - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110213140.27 ◽

2009 ◽

Keyword(s):

Good Deal ◽

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Brownian semistationary processes and volatility/intermittency

Advanced Financial Modelling - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110213140.1 ◽

2009 ◽

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Optimal investment and hedging under partial and inside information

Advanced Financial Modelling - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110213140.371 ◽

2009 ◽

Keyword(s):

Optimal Investment ◽

Inside Information

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