Stochastic Methods in Finance

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
Kerry Back
Springer, Berlin, Springer Berlin Heidelberg, Springer
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Gewicht:
500 g
Format:
235x188x35 mm
Beschreibung:

Includes supplementary material: sn.pub/extras
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.

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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