Lectures given at the C.I.M.E.-E.M.S. Summer School

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...

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Detalles Bibliográficos
Autores principales: Back, Kerry, Bielecki, Tomasz R, Hipp, Christian, Peng, Shige, Schachermayer, Walter
Lenguaje:eng
Publicado: Springer 2004
Materias:
Mathematical Physics and Mathematics
Acceso en línea:https://dx.doi.org/10.1007/b100122
http://cds.cern.ch/record/1696122
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author Back, Kerry
Bielecki, Tomasz R
Hipp, Christian
Peng, Shige
Schachermayer, Walter
author_facet Back, Kerry
Bielecki, Tomasz R
Hipp, Christian
Peng, Shige
Schachermayer, Walter
author_sort Back, Kerry
collection CERN
description 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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spelling cern-16961222021-04-22T07:05:59Zdoi:10.1007/b100122http://cds.cern.ch/record/1696122engBack, KerryBielecki, Tomasz RHipp, ChristianPeng, ShigeSchachermayer, WalterLectures given at the C.I.M.E.-E.M.S. Summer SchoolMathematical Physics and MathematicsThis 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.Springeroai:cds.cern.ch:16961222004
spellingShingle Mathematical Physics and Mathematics
Back, Kerry
Bielecki, Tomasz R
Hipp, Christian
Peng, Shige
Schachermayer, Walter
Lectures given at the C.I.M.E.-E.M.S. Summer School
title Lectures given at the C.I.M.E.-E.M.S. Summer School
title_full Lectures given at the C.I.M.E.-E.M.S. Summer School
title_fullStr Lectures given at the C.I.M.E.-E.M.S. Summer School
title_full_unstemmed Lectures given at the C.I.M.E.-E.M.S. Summer School
title_short Lectures given at the C.I.M.E.-E.M.S. Summer School
title_sort lectures given at the c.i.m.e.-e.m.s. summer school
topic Mathematical Physics and Mathematics
url https://dx.doi.org/10.1007/b100122
http://cds.cern.ch/record/1696122
work_keys_str_mv AT backkerry lecturesgivenatthecimeemssummerschool
AT bieleckitomaszr lecturesgivenatthecimeemssummerschool
AT hippchristian lecturesgivenatthecimeemssummerschool
AT pengshige lecturesgivenatthecimeemssummerschool
AT schachermayerwalter lecturesgivenatthecimeemssummerschool

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