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:   Kerry Back ,  Marco Frittelli ,  Tomasz R. Bielecki ,  Wolfgang J. Runggaldier
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Edition:   2004 ed.
Volume:   1856
ISBN:  

9783540229537


Pages:   312
Publication Date:   22 November 2004
Format:   Paperback
Availability:   Out of print, replaced by POD   Availability explained
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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


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Overview

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.

Full Product Details

Author:   Kerry Back ,  Marco Frittelli ,  Tomasz R. Bielecki ,  Wolfgang J. Runggaldier
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition:   2004 ed.
Volume:   1856
Dimensions:   Width: 15.50cm , Height: 1.70cm , Length: 23.50cm
Weight:   1.020kg
ISBN:  

9783540229537


ISBN 10:   3540229531
Pages:   312
Publication Date:   22 November 2004
Audience:   College/higher education ,  Professional and scholarly ,  Undergraduate ,  Postgraduate, Research & Scholarly
Format:   Paperback
Publisher's Status:   Active
Availability:   Out of print, replaced by POD   Availability explained
We will order this item for you from a manufatured on demand supplier.

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.

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