Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer

Stochastic Methods in Finance (eBook, PDF)

Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003
Redaktion: Frittelli, Marco; Runggaldier, Wolfgang J.

• Format: PDF

Produktbeschreibung

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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Produktdetails

• Verlag: Springer Berlin Heidelberg
• Seitenzahl: 312
• Erscheinungstermin: 13. November 2004
• Englisch
• ISBN-13: 9783540446446
• Artikelnr.: 53145208