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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 / by Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer.
- Format:
- Book
- Author/Creator:
- Back, K. (Kerry), author.
- Bielecki, Tomasz R., 1955- author.
- Hipp, Christian, author.
- Peng, Shige, author.
- Schachermayer, Walter, author.
- Series:
- Lecture notes in mathematics (Springer-Verlag). CIME Foundation subseries ; 1856.
- C.I.M.E. Foundation Subseries ; 1856
- Language:
- English
- Subjects (All):
- Distribution (Probability theory).
- Finance, Public.
- Finance.
- Mathematics.
- System theory.
- Probability Theory and Stochastic Processes.
- Public Economics.
- Quantitative Finance.
- Game Theory, Economics, Social and Behav. Sciences.
- Systems Theory, Control.
- Local Subjects:
- Probability Theory and Stochastic Processes.
- Public Economics.
- Quantitative Finance.
- Game Theory, Economics, Social and Behav. Sciences.
- Systems Theory, Control.
- Physical Description:
- 1 online resource (XVI, 312 pages).
- Contained In:
- Springer eBooks
- Place of Publication:
- Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2004.
- System Details:
- text file PDF
- 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.
- Contents:
- Preface
- Kerry Back: Incomplete and Asymmetric Information in Asset Pricing Theory
- Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski: Modeling and Valuation of Credit Risk
- Christian Hipp: Stochastic Control with Application in Insurance
- Shige Peng: Nonlinear Expectations, Nonlinear Evaluations and Risk Measures
- Walter Schachermayer: Utility Maximisation in Incomplete Markets.
- Other Format:
- Printed edition:
- ISBN:
- 9783540446446
- Access Restriction:
- Restricted for use by site license.
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