Stochastic Methods in Finance / Lecture Notes in Mathematics Bd.1856 (PDF)
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.
- Autoren: Kerry Back , Tomasz R. Bielecki , Christian Hipp , Shige Peng , Walter Schachermayer
- 2004, 2004, 312 Seiten, Englisch
- Herausgegeben: Marco Frittelli, Wolfgang J. Runggaldier
- Verlag: Springer Berlin Heidelberg
- ISBN-10: 3540446443
- ISBN-13: 9783540446446
- Erscheinungsdatum: 13.11.2004
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- Größe: 3.31 MB
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