Ebook: 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
- Genre: Mathematics // Probability
- Tags: Probability Theory and Stochastic Processes, Quantitative Finance, Game Theory Economics Social and Behav. Sciences, Systems Theory Control
- Series: Lecture Notes in Mathematics 1856
- Year: 2004
- Publisher: Springer-Verlag Berlin Heidelberg
- Edition: 1
- Language: English
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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.
This volume includes the five lectures at the CIME-EMS School on