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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
Kerry Back, Tomasz R Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer
52,95 €
+ 105 points
Description
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.
Spécifications
Parties prenantes
- Auteur(s) :
- Editeur:
Contenu
- Nombre de pages :
- 312
- Langue:
- Anglais
- Collection :
- Tome:
- n° 1856
Caractéristiques
- EAN:
- 9783540229537
- Date de parution :
- 22-11-04
- Format:
- Livre broché
- Format numérique:
- Trade paperback (VS)
- Dimensions :
- 159 mm x 234 mm
- Poids :
- 485 g
