Advanced Financial Modelling (eBook)

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