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Stochastic Methods in Finance

Name: Stochastic Methods in Finance
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 01559747
Price: 21811 HUF
Availability: InStock
Author: Kerry Back
ISBN: 9783540229537

Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003

Kerry Back

Tomasz R. Bielecki

Christian Hipp

Language

English

Book Paperback

Libristo code: 01559747

Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, November 2004

This volume includes the five lecture courses given at the CIME-EMS School on "Stochastic Methods in... Full description

Libristo code: 01559747

145 b

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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.