Stochastic Methods in Finance

Name: Stochastic Methods in Finance
SKU: 2108798
Price: 147.99 AUD
Availability: InStock

Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003

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Format:

Paperback / softback

Series:

C.I.M.E. Foundation Subseries

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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.

Release date Australia

November 22nd, 2004

Author

Audiences

Postgraduate, Research & Scholarly
Professional & Vocational
Undergraduate

Contributors

Edited by Marco Frittelli
Edited by Wolfgang J Runggaldier

Illustrations

XVI, 312 p.

Pages

312

Series

C.I.M.E. Foundation Subseries

Dimensions

156x234x17

ISBN-13

9783540229537

Product ID

2108798

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