Stochastic Methods in Finance
Language: English
Published by Springer, 2004
- Softcover
- New
Seller: Biblios, frankfurt am main, hessen, GermanyBiblios
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Condition: New
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PRINT ON DEMAND pp. 328.
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- Title
- Stochastic Methods in Finance
- Author
- Back Kerry Frittelli Marco Runggaldier Wolfgang J.
- Publisher
- Springer
- Publication year
- 2004
- Condition
- New
- Binding
- Soft cover
- Language
- English
- ISBN 10
- 3540229531
- ISBN 13
- 9783540229537
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.
"Synopsis" may belong to another edition of this title.
From the Back Cover
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.
"About the title" may belong to another edition of this title.
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