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 PDF
by Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer
Edited by Marco Frittelli, Wolfgang J. Runggaldier
Part of the Lecture Notes in Mathematics series
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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.
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- Format:PDF
- Publisher:Springer Berlin Heidelberg
- Publication Date:13/11/2004
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- ISBN:9783540446446
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-
Download Now
- Format:PDF
- Publisher:Springer Berlin Heidelberg
- Publication Date:13/11/2004
- Category:
- ISBN:9783540446446
