Hidden Bibliographic Details
| Other authors / contributors: | Back, K. (Kerry)
Frittelli, M. (Marco)
Runggaldier, W. J. (Wolfgang J.)
Centro internazionale matematico estivo.
European Mathematical Society.
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| ISBN: | 9783540446446
3540446443
3540229531
9783540229537
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| Notes: | Contains five lecture courses given at the CIME-EMS School on "Stochastic Methods in Finance, held in Brassanone/Brixen, Italy, 2003.
"Subseries: Fondazione C.I.M.E., Firenze"--Series title page.
Includes bibliographical references.
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| 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.
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| Other form: | Print version: Stochastic methods in finance. Berlin ; New York : Springer, ©2004 3540229531
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