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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| 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: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/11065386 |
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| 111 | 2 | |a CIME-EMS School on "Stochastic Methods in Finance" |d (2003 : |c Bressanone, Italy) |0 http://id.loc.gov/authorities/names/n2005030725 | |
| 245 | 1 | 0 | |a Stochastic methods in finance : |b lectures given at the C.I.M.E.-E.M.S. summer school held in Bressanone/Brixen, Italy, July 6-12, 2003 / |c K. Back [and others] ; editors, M. Frittelli, W. Runggaldier. |
| 260 | |a Berlin ; |a New York : |b Springer, |c ©2004. | ||
| 300 | |a 1 online resource (xiii, 306 pages) : |b illustrations. | ||
| 336 | |a text |b txt |2 rdacontent |0 http://id.loc.gov/vocabulary/contentTypes/txt | ||
| 337 | |a computer |b c |2 rdamedia |0 http://id.loc.gov/vocabulary/mediaTypes/c | ||
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| 490 | 1 | |a Lecture notes in mathematics, |x 0075-8434 ; |v 1856 | |
| 500 | |a Contains five lecture courses given at the CIME-EMS School on "Stochastic Methods in Finance, held in Brassanone/Brixen, Italy, 2003. | ||
| 500 | |a "Subseries: Fondazione C.I.M.E., Firenze"--Series title page. | ||
| 504 | |a Includes bibliographical references. | ||
| 505 | 0 | |a Incomplete and asymmetric information in asset pricing theory / Kerry Back -- Modeling and valuation of credit risk / Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski -- Stochastic control with application in insurance / Christian Hipp -- Nonlinear expectations, nonlinear evaluations and risk measures / Shige Peng -- Utility maximisation in incomplete markets / Walter Schachermayer. | |
| 520 | |a 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. | ||
| 650 | 0 | |a Finance |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh85048260 | |
| 650 | 0 | |a Stochastic analysis. |0 http://id.loc.gov/authorities/subjects/sh85128175 | |
| 650 | 7 | |a Finance |x Mathematical models. |2 fast |0 (OCoLC)fst00924398 | |
| 650 | 7 | |a Stochastic analysis. |2 fast |0 (OCoLC)fst01133499 | |
| 655 | 4 | |a Electronic books. | |
| 700 | 1 | |a Back, K. |q (Kerry) |0 http://id.loc.gov/authorities/names/nr2005004647 |1 http://viaf.org/viaf/173207416 | |
| 700 | 1 | |a Frittelli, M. |q (Marco) |0 http://id.loc.gov/authorities/names/nb2004310544 |1 http://viaf.org/viaf/2729294 | |
| 700 | 1 | |a Runggaldier, W. J. |q (Wolfgang J.) |0 http://id.loc.gov/authorities/names/n97017259 |1 http://viaf.org/viaf/61807101 | |
| 710 | 2 | |a Centro internazionale matematico estivo. |0 http://id.loc.gov/authorities/names/n80036773 |1 http://viaf.org/viaf/142847353 | |
| 710 | 2 | |a European Mathematical Society. |0 http://id.loc.gov/authorities/names/no99017212 |1 http://viaf.org/viaf/123146200 | |
| 776 | 0 | 8 | |i Print version: |t Stochastic methods in finance. |d Berlin ; New York : Springer, ©2004 |z 3540229531 |w (DLC) 2004114748 |w (OCoLC)57170749 |
| 830 | 0 | |a Lecture notes in mathematics (Springer-Verlag) ; |v 1856. | |
| 856 | 4 | 0 | |u http://link.springer.com/10.1007/b100122 |y SpringerLink |
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