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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 de Kerry Back

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: Lecture Notes in Mathematics, cartea 1856

Autor Kerry Back Editat de Marco Frittelli Autor Tomasz R. Bielecki Editat de Wolfgang J. Runggaldier Autor Christian Hipp, Shige Peng, Walter Schachermayer
en Limba Engleză Paperback – 22 noi 2004
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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Specificații

ISBN-13: 9783540229537
ISBN-10: 3540229531
Pagini: 328
Ilustrații: XVI, 312 p.
Dimensiuni: 155 x 235 x 25 mm
Greutate: 0.49 kg
Ediția:2004
Editura: Springer Berlin, Heidelberg
Colecția Springer
Seriile Lecture Notes in Mathematics, C.I.M.E. Foundation Subseries

Locul publicării:Berlin, Heidelberg, Germany

Public țintă

Research

Cuprins

Preface.- Kerry Back: Incomplete and Asymmetric Information in Asset Pricing Theory.- Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski: Modeling and Valuation of Credit Risk.- Christian Hipp: Stochastic Control with Application in Insurance.- Shige Peng: Nonlinear Expectations, Nonlinear Evaluations and Risk Measures.- Walter Schachermayer: Utility Maximisation in Incomplete Markets.

Textul de pe ultima copertă

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.

Caracteristici

Includes supplementary material: sn.pub/extras