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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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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...

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Bibliographic Details
Corporate Authors: CIME-EMS School on "Stochastic Methods in Finance" Bressanone, Italy, SpringerLink (Online service), Centro internazionale matematico estivo, European Mathematical Society
Other Authors: Back, K. (Kerry), Frittelli, M. (Marco), Runggaldier, W. J. (Wolfgang J.)
Format: Conference Proceeding eBook
Language:English
Published: Berlin ; New York : Springer, [2004]
Series:Lecture notes in mathematics (Springer-Verlag) ; 1856.
Subjects:
Finance > Mathematical models.
Stochastic analysis.
Electronic books.
Online Access:Connect to the full text of this electronic book
Description
Summary: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.
Item Description:Contains five lecture courses given at the CIME-EMS School on "Stochastic Methods in Finance, held in Brassanone/Brixen, Italy, 2003."
"Subseries: Fondazione C.I.M.E., Firenze"--Series title page.
Electronic resource.
Physical Description:1 online resource (xiii, 306 pages) : illustrations.
Bibliography:Includes bibliographical references.
ISBN:9783540446446 (electronic bk.)
3540446443 (electronic bk.)
ISSN:0075-8434 ;