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

Author(s)

• Back, Kack
• C.I.M.E.-E.M.S. Summer School
• Frittelli, Marco
• Runggaldier, W. J. (Wolfgang J.)

Bibliographic Information

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

K. Back ... [et al.] ; editors, M. Frittelli, W. Runggaldier

（Lecture notes in mathematics, 1856 . Fondazione C.I.M.E., Firenze / adviser, Pietro Zecca）

Springer, c2004

Other Title

Stochastic methods in finance : Bressanone/Brixen, Italy 2003

Note

Includes bibliographical references

Description and Table of Contents

Description

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

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.

by "Nielsen BookData"

Details

• NCID: BA70086809
• ISBN:
  • 3540229531
• LCCN: 2004114748
• Country Code: gw
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Berlin
• Pages/Volumes: xiii, 306 p.
• Size: 24 cm
• Parent Bibliography ID:
  • BA00146586