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 |
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| Author:
| Back, K.
Bielecki, T. R.
Hipp, C.
Peng, S.
Schachermayer, W. |
| Editor:
| Frittelli, M.
Runggaldier, W. |
| Series title: | Lecture Notes in Mathematics Ser. |
| ISBN: | 978-3-540-22953-7 |
| Publication Date: | Nov 2004 |
| Publisher: | Springer Berlin / Heidelberg
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| Imprint: | Springer |
| Book Format: | Paperback |
| List Price: | USD $54.99 |
Book Description:
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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...
More 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.