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

By Kerry Back and Tomasz R. Bielecki

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.

• Format: Paperback
• Language: English
• ISBN: 3540229531
• ISBN13: 9783540229537
• Release Date: November 2004
• Publisher: Springer
• Length: 312 Pages
• Weight: 1.07 lbs.
• Dimensions: 0.7" x 6.3" x 9.2"