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312 sidor
2004

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.

Författare: Kerry Back, Tomasz R Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer
Illustratör: Bibliographie
Format: Pocket/Paperback
ISBN: 9783540229537
Språk: Engelska
Antal sidor: 312
Utgivningsdatum: 2004-11-01
Förlag: Springer-Verlag Berlin and Heidelberg GmbH & Co. K