| 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 2004 Edition Contributor(s): Back, Kerry (Author), Frittelli, Marco (Editor), Bielecki, Tomasz R. (Author) |
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ISBN: 3540229531 ISBN-13: 9783540229537 Publisher: Springer OUR PRICE: $52.24 Product Type: Paperback Published: November 2004 Annotation: 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. |
| Additional Information |
| BISAC Categories: - Computers | Computer Science - Mathematics | Probability & Statistics - General - Mathematics | Game Theory |
| Dewey: 332.015 |
| LCCN: 2004114748 |
| Physical Information: 0.7" H x 6.26" W x 9.23" (1.07 lbs) 312 pages |
| Descriptions, Reviews, Etc. |
| Publisher 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. |