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.
| ISBN: | 9783540229537 |
| Publication date: | 22nd November 2004 |
| Author: | Kerry Back, Tomasz R Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer |
| Publisher: | Springer an imprint of Springer Berlin Heidelberg |
| Format: | Paperback |
| Pagination: | 312 pages |
| Series: | Lecture Notes in Mathematics |
| Genres: |
Probability and statistics Game theory Cybernetics and systems theory Stochastics Civil service and public sector Applied mathematics Economics, Finance, Business and Management |