Stochastic Methods In Finance di Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer edito da Springer-verlag Berlin And Heidelberg Gmbh & Co. Kg
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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

EAN:

9783540229537

ISBN:

3540229531

Pagine:
312
Formato:
Paperback
Lingua:
Tedesco
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Descrizione Stochastic Methods In Finance

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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