Lecture Notes in Mathematics: Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003

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

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.

Details

Published by: Springer

Publication Date: 2004-11-22

Format: Paperback

ISBN-13: 9783540229537

DOI: 10.1007/b100122

Dimensions: 235cm x155cm

Pages: 312