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 (Lecture Notes in Mathematics / Fondazione C.I.M.E., Firenze)

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 (lecture notes in mathematics / fondazione c.i.m.e., firenze)

more information about 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 (Lecture Notes in Mathematics / Fondazione C.I.M.E., Firenze)

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 (Lecture Notes in Mathematics / Fondazione C.I.M.E., Firenze)

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Book Description

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.

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 (Lecture Notes in Mathematics / Fondazione C.I.M.E., Firenze),Kerry Back,Tomasz R. Bielecki,Christian Hipp,Shige Peng,Walter Schachermayer,Marco Frittelli,Wolfgang Runggaldier,Springer,3540229531,Applied,Computer Science,Computers - General Information,Finance,General,Mathematical models,Mathematics,Science/Mathematics,Stochastic analysis,Mathematics / Statistics

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  1. Stochastik : Theorie und Anwendungen (Statistik und ihre Anwendungen)
  2. Symbolic Asymptotics
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  6. The Breadth of Symplectic and Poisson Geometry : Festschrift in Honor of Alan Weinstein (Progress in Mathematics)
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Books Info

Books Info

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