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

von Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer

312 Seiten, Taschenbuch

Kurzbeschreibung des Verlags

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.

• Reihe: Lecture Notes in Mathematics
• ISBN: 9783540229537
• Sprache: Englisch
• Erscheinungsdatum: 22.11.2004
• Genre: Mathematik/Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik
• Verlag: Springer Berlin
• Herausgegeben von: Marco Frittelli, Wolfgang J. Runggaldier