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  • Book
  • © 2004

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:

  1. Kerry Back
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  2. Tomasz R. Bielecki
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  3. Christian Hipp
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  4. Shige Peng
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  5. Walter Schachermayer
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Part of the book series: Lecture Notes in Mathematics (LNM, volume 1856)

Part of the book sub series: C.I.M.E. Foundation Subseries (LNMCIME)

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Table of contents (5 chapters)

  1. Front Matter

    Pages I-XIII
    PDF

  3. Modeling and Valuation of Credit Risk

    • Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski
    Pages 27-126

  6. Utility Maximisation in Incomplete Markets

    • Walter Schachermayer
    Pages 255-293

  7. Back Matter

    Pages 295-307
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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.

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Buy it now

eBook USD 39.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 54.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

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