http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
lectures given at the C.I.M.E.-E.M.S. summer school held in Bressanone/Brixen, Italy, July 6-12, 2003
CIME-EMS School on "Stochastic Methods in Finance" (2003 : Bressanone, Italy)
1 online resource (xiii, 306 pages) : illustrations.
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.
Incomplete and asymmetric information in asset pricing theory / Kerry Back -- Modeling and valuation of credit risk / Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski -- Stochastic control with application in insurance / Christian Hipp -- Nonlinear expectations, nonlinear evaluations and risk measures / Shige Peng -- Utility maximisation in incomplete markets / Walter Schachermayer.
K. Back [and others] ; editors, M. Frittelli, W. Runggaldier.
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.
Lecture notes in mathematics (Springer-Verlag) ; 1856