Ebook > Social Sciences > Law > Commercial Law, Business Law > Kerry Back & Tomasz R. Bielecki: Stochastic Methods in Finance (PDF)

Kerry Back & Tomasz R. Bielecki
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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Cover of Kerry Back & Tomasz R. Bielecki: Stochastic Methods in Finance (PDF)

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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Language English ● Format PDF ● ISBN 9783540446446 ● Editor Marco Frittelli & Wolfgang J. Runggaldier ● Publisher Springer Berlin Heidelberg ● Published 2004 ● Downloadable 3 times ● Currency EUR ● ID 6318213 ● Copy protection Adobe DRM

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Kerry Back Tomasz R. Bielecki Christian Hipp Shige Peng Walter Schachermayer Marco Frittelli Wolfgang J. Runggaldier

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