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 - Couverture souple

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9783540229537: 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
Couverture souple
ISBN 10 : 3540229531 ISBN 13 : 9783540229537
Editeur : Springer Berlin Heidelberg, 2008

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.

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Éditeur
Springer Berlin Heidelberg
Date d'édition
2008
Langue
anglais
ISBN 10 
3540229531
ISBN 13 
9783540229537
Reliure
Broché
Nombre de pages
328
Coordonnées du fabricant
non disponible
Personne responsable
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Autres éditions populaires du même titre

9783662179529: 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

Edition présentée

ISBN 10 :  3662179520 ISBN 13 :  9783662179529
Editeur : Springer, 2014
Couverture souple