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 (Lecture Notes in Mathematics)
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Product Description
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.
Additional Information
| Manufacturer: | Springer |
| Brand: | Brand: Springer |
| Part Number: | biography |
| Publisher: | Springer |
| Studio: | Springer |
| MPN: | biography |
| EAN: | 9783540229537 |
| Item Weight: | 1.07 pounds |
| Item Size: | 0.74 x 9.25 x 9.25 inches |
| Package Weight: | 1.06 pounds |
| Package Size: | 6.06 x 0.79 x 0.79 inches |