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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, 1856) 2004th Edition

by Kerry Back (Author), Tomasz R. Bielecki Christian Hipp

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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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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.

Product details

Publisher ‏ : ‎ Springer
Publication date ‏ : ‎ November 22, 2004
Edition ‏ : ‎ 2004th
Language ‏ : ‎ English
Print length ‏ : ‎ 328 pages
ISBN-10 ‏ : ‎ 3540229531
ISBN-13 ‏ : ‎ 978-3540229537
Item Weight ‏ : ‎ 1.05 pounds
Dimensions ‏ : ‎ 6.1 x 0.74 x 9.25 inches

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