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Stochastic Methods in Finance
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Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003
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Sofort lieferbar | Lieferzeit: Sofort lieferbar
Artikel-Nr:
9783540446446
Veröffentl:
2004
Einband:
PDF
Seiten:
312
Autor:
Kerry Back
Serie:
Lecture Notes in Mathematics
eBook Typ:
PDF
eBook Format:
PDF
Kopierschutz:
Adobe DRM [Hard-DRM]
Sprache:
Englisch
Beschreibung:
This volume includes the five lecture courses given at the CIME-EMS School on "e;Stochastic Methods in Finance"e; 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.
This volume includes the five lecture courses given at the CIME-EMS School on "e;Stochastic Methods in Finance"e; 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.