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
(Sprache: Englisch)
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...
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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.
Inhaltsverzeichnis zu „Stochastic Methods in Finance “
- Preface- Kerry Back: Incomplete and Asymmetric Information in Asset Pricing Theory
- Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski: Modeling and Valuation of Credit Risk
- Christian Hipp: Stochastic Control with Application in Insurance
- Shige Peng: Nonlinear Expectations, Nonlinear Evaluations and Risk Measures
- Walter Schachermayer: Utility Maximisation in Incomplete Markets.
Bibliographische Angaben
- Autoren: Kerry Back , Tomasz R. Bielecki , Christian Hipp , Shige Peng , Walter Schachermayer
- 2004, 312 Seiten, Maße: 15,7 x 24,1 cm, Kartoniert (TB), Englisch
- By Kerry Back, Tomasz R. Bielecki, Christian Hipp et al.
- Verlag: Springer
- ISBN-10: 3540229531
- ISBN-13: 9783540229537
- Erscheinungsdatum: 22.11.2004
Sprache:
Englisch
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