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Record Nr. |
UNISA996466484603316 |
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Autore |
Back Kerry |
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Titolo |
Stochastic Methods in Finance [[electronic resource] ] : 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, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer ; edited by Marco Frittelli, Wolfgang J. Runggaldier |
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Pubbl/distr/stampa |
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Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2004 |
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ISBN |
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Edizione |
[1st ed. 2004.] |
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Descrizione fisica |
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1 online resource (XVI, 312 p.) |
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Collana |
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C.I.M.E. Foundation Subseries ; ; 1856 |
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Disciplina |
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Soggetti |
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Probabilities |
Public finance |
Economics, Mathematical |
Game theory |
System theory |
Probability Theory and Stochastic Processes |
Public Economics |
Quantitative Finance |
Game Theory, Economics, Social and Behav. Sciences |
Systems Theory, Control |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Bibliographic Level Mode of Issuance: Monograph |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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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. |
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Sommario/riassunto |
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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 |
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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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