| Autor: |
Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer, Marco Frittelli, Wolfgang J. Runggaldier |
| Předmět: |
|
| Kategorie: |
|
| Popis: |
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. |
| Databáze: |
eBook Index |
| Externí odkaz: |
|
