Custom cover image
Custom cover image

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 ... Ed.: Marco Frittelli ...

Contributor(s): Resource type: Ressourcentyp: BuchBookPublisher number: 11315889Language: English Series: Lecture notes in mathematics ; 1856 : Fondazione C.I.M.E., FirenzePublisher: Berlin ; Heidelberg [u.a.] : Springer, 2004Description: XIII, 306 S : graph. Darst ; 24 cmISBN:
  • 3540229531
Subject(s): Genre/Form: Additional physical formats: Erscheint auch als: Stochastic Methods in Finance. Online-Ausgabe Berlin, Heidelberg : Springer Berlin Heidelberg, 2004. Online-Ressource (XVI, 312 p, online resource)DDC classification:
  • 332.60151
  • 330 510
MSC: MSC: *91-06 | 60-06 | 00B25RVK: RVK: SI 850 | SK 820 | SK 970 | QH 237 | QK 800LOC classification:
  • QA3
  • HG106
Contents:
Literaturangaben
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. TOC:Preface.- Kerry Back: Incomplete and Asymmetric Information in Asset Pricing Theory.- Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski: Modeling and Valuation of Credit Risk.- Christian Hipp: Stochastic Control with Application in Insurance.- Shige Peng: Nonlinear Expectations, Nonlinear Evaluations and Risk Measures.- Walter Schachermayer: Utility maximisation in Incomplete MarketsPPN: PPN: 470971355
Holdings
Item type Home library Shelving location Call number Status Barcode
Freihandbestand ausleihbar Fachbibliothek Mathematik Bibliothek / frei aufgestellt Lect. notes / 1856 Available 36392190090
Total holds: 0