Stochastic methods in finance
Subtitle: lectures given at the C.I.M.E.-E.M.S. summer school held in Bressanone/Brixen, Italy, July 6-12, 2003
By: K. Back ... [et al.] ; editors, M. Frittelli, W. Runggaldier.
Contributors: Back, K.; Frittelli, M.; Runggaldier, W. J.; Centro internazionale matematico estivo.; European Mathematical Society.
Series: Lecture notes in mathematics -- 1856; Lecture notes in mathematics (Springer-Verlag) -- 1856.
Publisher: Springer
Published: 2004
Place of publication: Berlin; New York
Language: eng
Number of pages: 306
Subjects: Finance -- Mathematical models; Stochastic analysis
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.
Notes: Contains five lecture courses given at the CIME-EMS School on "Stochastic Methods in Finance, held in Brassanone/Brixen, Italy, 2003.

"Subseries: Fondazione C.I.M.E., Firenze"--Series t.p.

Includes bibliographical references.