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Book 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.

Book details

Book category Books in English Mathematics & science Mathematics Applied mathematics

• Full title: Stochastic Methods in Finance
• Subtitle: Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003
• Author: Kerry Back, Tomasz R. Bielecki, Christian Hipp
• Language: English
• Binding: Paperback
• Number of pages: 312
• EAN: 9783540229537
• ISBN: 3540229531
• ID: 01559747
• Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
• Weight: 472 g
• Dimensions: 235 × 155 × 17 mm
• Date of publishing: 22. November 2004

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