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 /

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 /

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Bibliographic Details
Meeting name:	CIME-EMS School on "Stochastic Methods in Finance" (2003 : Bressanone, Italy)
Imprint:	Berlin ; New York : Springer, ©2004.
Description:	1 online resource (xiii, 306 pages) : illustrations.
Language:	English
Series:	Lecture notes in mathematics, 0075-8434 ; 1856 Lecture notes in mathematics (Springer-Verlag) ; 1856.
Subject:	Finance -- Mathematical models. Stochastic analysis. Finance -- Mathematical models. Stochastic analysis.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/11065386

Hidden Bibliographic Details
Other authors / contributors:	Back, K. (Kerry) Frittelli, M. (Marco) Runggaldier, W. J. (Wolfgang J.) Centro internazionale matematico estivo. European Mathematical Society.
ISBN:	9783540446446 3540446443 3540229531 9783540229537
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.
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.
Other form:	Print version: Stochastic methods in finance. Berlin ; New York : Springer, ©2004 3540229531

Description
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.
Item Description:	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.
Physical Description:	1 online resource (xiii, 306 pages) : illustrations.
Bibliography:	Includes bibliographical references.
ISBN:	9783540446446 3540446443 3540229531 9783540229537
ISSN:	0075-8434 ;