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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 / K. Back [and others] ; editors, M. Frittelli, W. Runggaldier.

By: Contributor(s): Material type: TextTextSeries: Lecture notes in mathematics (Springer-Verlag) ; 1856.Publication details: Berlin ; New York : Springer, ©2004.Description: 1 online resource (xiii, 306 pages) : illustrationsContent type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9783540446446
  • 3540446443
Subject(s): Genre/Form: Additional physical formats: Print version:: Stochastic methods in finance.DDC classification:
  • 519.22 22
LOC classification:
  • QA3 .L28 no. 1856 HG106
Online resources:
Contents:
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.
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
Holdings
Item type Current library Collection Call number Status Date due Barcode Item holds
eBook eBook e-Library eBook LN Mathematic Available
Total holds: 0

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

Includes bibliographical references.

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.

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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