C.I.M.E. Foundation Subseries

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

Authors: Back, K., Bielecki, T.R., Hipp, C., Peng, S., Schachermayer, W.

Editors: Frittelli, Marco, Runggaldier, Wolfgang J. (Eds.)

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  • ISBN 978-3-540-44644-6
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About this book

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.

Table of contents (5 chapters)

  • Incomplete and Asymmetric Information in Asset Pricing Theory

    Back, Kerry

    Pages 1-25

  • Modeling and Valuation of Credit Risk

    Bielecki, Tomasz R. (et al.)

    Pages 27-126

  • Stochastic Control with Application in Insurance

    Hipp, Christian

    Pages 127-164

  • Nonlinear Expectations, Nonlinear Evaluations and Risk Measures

    Peng, Shige

    Pages 165-253

  • Utility Maximisation in Incomplete Markets

    Schachermayer, Walter

    Pages 255-293

Buy this book

eBook $59.99
price for USA (gross)
  • ISBN 978-3-540-44644-6
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $79.95
price for USA
  • ISBN 978-3-540-22953-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Stochastic Methods in Finance
Book Subtitle
Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003
Authors
Editors
  • Marco Frittelli
  • Wolfgang J. Runggaldier
Series Title
C.I.M.E. Foundation Subseries
Series Volume
1856
Copyright
2004
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-44644-6
DOI
10.1007/b100122
Softcover ISBN
978-3-540-22953-7
Edition Number
1
Number of Pages
XVI, 312
Topics