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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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.
Imprint | Springer-Verlag |
Country of origin | Germany |
Series | C.I.M.E. Foundation Subseries, 1856 |
Release date | November 2004 |
Availability | Expected to ship within 10 - 15 working days |
First published | 2004 |
Authors | Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer |
Editors | Marco Frittelli, Wolfgang J Runggaldier |
Dimensions | 235 x 155 x 17mm (L x W x T) |
Format | Paperback |
Pages | 312 |
Edition | 2004 ed. |
ISBN-13 | 978-3-540-22953-7 |
Barcode | 9783540229537 |
Categories | |
LSN | 3-540-22953-1 |