✦ LIBER ✦

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

✍ Scribed by Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer (auth.)

Book ID: 127426482
Publisher: Springer
Year: 2004
Tongue: English
Weight: 3 MB
Edition: 1
Category: Library
City: Berlin; New York
ISBN: 3540446443
ISSN: 0075-8434
DOI: 10.1007/b100122

No coin nor oath required. For personal study only.

✦ Synopsis

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.

✦ Subjects

Systems Theory, Control

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