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 Fondazione C.I.M.E. Firenze
- 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 collects the texts of the five series of lectures presented at theSummer School. They are arranged in alphabetic order according to the nameof the lecturer.