TY  - BOOK
AU  - Back,K.
AU  - Frittelli,M.
AU  - Runggaldier,W.J.
ED  - CIME-EMS School on "Stochastic Methods in Finance"
ED  - Centro internazionale matematico estivo.
ED  - European Mathematical Society.
TI  - 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 
T2  - Lecture notes in mathematics,
SN  - 9783540446446
AV  - QA3HG106 .L28 no. 1856
U1  - 519.22 22
PY  - 2004///
CY  - Berlin, New York
PB  - Springer
KW  - Finance
KW  - Mathematical models
KW  - Stochastic analysis
KW  - Finances
KW  - Modèles mathématiques
KW  - Analyse stochastique
KW  - Análisis estocástico
KW  - embne
KW  - fast
KW  - proceedings (reports)
KW  - aat
KW  - Conference papers and proceedings
KW  - lcgft
KW  - Actes de congrès
KW  - rvmgf
N1  - 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
N2  - 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
UR  - https://link-springer-com.libraryproxy.ist.ac.at/10.1007/b100122
ER  -