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)
Language: English
Published by Springer Berlin Heidelberg 2008-10-10, 2008
- Softcover
- New
Seller: Chiron Media, Wallingford, United KingdomChiron Media
AbeBooks seller since August 2, 2010
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- Title
- 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)
- Author
- Kerry Back, Tomasz R. Bielecki, Wolfgang Runggaldier, Christian Hipp, Shige Peng, Walter Schachermayer, Marco Frittelli
- Publisher
- Springer Berlin Heidelberg 2008-10-10
- Publication year
- 2008
- Condition
- New
- Binding
- Paperback
- 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.
Chiron Media
Wallingford, United Kingdom
AbeBooks seller since August 2, 2010
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