Stochastic Methods in Finance
Back, Kerry.
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 / [electronic resource] : by Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer. - XVI, 312 p. online resource. - C.I.M.E. Foundation Subseries ; 1856 . - C.I.M.E. Foundation Subseries ; 1856 .
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 Markets.
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.
9783540446446
10.1007/b100122 doi
Distribution (Probability theory.
Public finance.
Finance.
Mathematics.
Systems theory.
Probability Theory and Stochastic Processes.
Public Economics.
Quantitative Finance.
Game Theory, Economics, Social and Behav. Sciences.
Systems Theory, Control.
QA273.A1-274.9 QA274-274.9
519.2
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 / [electronic resource] : by Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer. - XVI, 312 p. online resource. - C.I.M.E. Foundation Subseries ; 1856 . - C.I.M.E. Foundation Subseries ; 1856 .
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 Markets.
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.
9783540446446
10.1007/b100122 doi
Distribution (Probability theory.
Public finance.
Finance.
Mathematics.
Systems theory.
Probability Theory and Stochastic Processes.
Public Economics.
Quantitative Finance.
Game Theory, Economics, Social and Behav. Sciences.
Systems Theory, Control.
QA273.A1-274.9 QA274-274.9
519.2