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) (Lecture Notes in Mathematics #1856)
By: and and and and
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- Synopsis
- 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.
- Copyright:
- 2004
Book Details
- Book Quality:
- Publisher Quality
- ISBN-13:
- 9783540446446
- Related ISBNs:
- 9783540229537
- Publisher:
- Springer Berlin Heidelberg
- Date of Addition:
- 08/19/22
- Copyrighted By:
- N/A
- Adult content:
- No
- Language:
- English
- Has Image Descriptions:
- No
- Categories:
- Nonfiction, Science, Business and Finance, Mathematics and Statistics
- Submitted By:
- Bookshare Staff
- Usage Restrictions:
- This is a copyrighted book.
- Edited by:
- Marco Frittelli
- Edited by:
- Wolfgang J. Runggaldier
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