Back / Frittelli / Bielecki 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
2004
ISBN: 978-3-540-44644-6
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 312 Seiten, eBook

Reihe: C.I.M.E. Foundation Subseries

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.

Zielgruppe

Research

Autoren/Hrsg.

Back, Kerry

Bielecki, Tomasz R.

Hipp, Christian

Peng, Shige

Schachermayer, Walter

Frittelli, Marco

Runggaldier, Wolfgang J.

Inhaltsverzeichnis

Preface.- Kerry Back: Incomplete and Asymmetric Information in Asset Pricing Theory.- Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski: Modeling and Valuation of Credit Risk.- Christian Hipp: Stochastic Control with Application in Insurance.- Shige Peng: Nonlinear Expectations, Nonlinear Evaluations and Risk Measures.- Walter Schachermayer: Utility Maximisation in Incomplete Markets.