ENGLISH

Stochastic Methods in Finance: Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003

By Kerry Back , Tomasz R. Bielecki , Christian Hipp , Shige Peng , Walter Schachermayer (auth.)

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
2004
ISBN
3-540-22953-1
DOI
10.1007/b100122
Open Library ID
OL15570221M
Language
english
Format
PDF
Filesize
3 MB (3026946 bytes)
Series
Lecture Notes in Mathematics 1856 Fondazione C.I.M.E., Firenze
Edition
1
Pages
312\316
Library
Springer
Time added
2009-08-06 07:02:15
ControlEconomicsProbability Theory and Stochastic Processes; QuantSocial and Behav. Sciences; Systems Theory

Description

This volume includes the five lecture courses given at the CIME-EMS School on "Stochastic Methods in Finance" held in Bressanone/Brixen, Italy 2003. It deals with innovative methods, mainly from stochastic analysis, that play a fundamental role in the mathematical modelling of finance and insurance: the theory of stochastic processes, optimal and stochastic control, stochastic differential equations, convex analysis and duality theory. Five topics are treated in detail: Utility maximization in incomplete markets; the theory of nonlinear expectations and its relationship with the theory of risk measures in a dynamic setting; credit risk modelling; the interplay between finance and insurance; incomplete information in the context of economic equilibrium and insider trading.

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