Overview
- Includes supplementary material: sn.pub/extras
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)
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Front Matter
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Back Matter
Keywords
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.
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: Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer
Series Title: Lecture Notes in Mathematics
DOI: https://doi.org/10.1007/b100122
Publisher: Springer Berlin, Heidelberg
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eBook Packages: Springer Book Archive
Copyright Information: Springer-Verlag Berlin Heidelberg 2004
Softcover ISBN: 978-3-540-22953-7Published: 22 November 2004
eBook ISBN: 978-3-540-44644-6Published: 13 November 2004
Series ISSN: 0075-8434
Series E-ISSN: 1617-9692
Edition Number: 1
Number of Pages: XVI, 312
Topics: Probability Theory and Stochastic Processes, Public Economics, Quantitative Finance, Game Theory, Economics, Social and Behav. Sciences, Systems Theory, Control