04906nam 22008895 450 99646648460331620200630001908.03-540-44644-310.1007/b100122(CKB)1000000000231531(SSID)ssj0000326941(PQKBManifestationID)11255972(PQKBTitleCode)TC0000326941(PQKBWorkID)10298382(PQKB)10064528(DE-He213)978-3-540-44644-6(MiAaPQ)EBC6281306(MiAaPQ)EBC5591501(Au-PeEL)EBL5591501(OCoLC)57337089(PPN)155230468(EXLCZ)99100000000023153120121227d2004 u| 0engurnn|008mamaatxtccrStochastic 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. Runggaldier1st ed. 2004.Berlin, Heidelberg :Springer Berlin Heidelberg :Imprint: Springer,2004.1 online resource (XVI, 312 p.) C.I.M.E. Foundation Subseries ;1856Bibliographic Level Mode of Issuance: Monograph3-540-22953-1 Includes bibliographical references.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.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.C.I.M.E. Foundation Subseries ;1856ProbabilitiesPublic financeEconomics, Mathematical Game theorySystem theoryProbability Theory and Stochastic Processeshttps://scigraph.springernature.com/ontologies/product-market-codes/M27004Public Economicshttps://scigraph.springernature.com/ontologies/product-market-codes/W34000Quantitative Financehttps://scigraph.springernature.com/ontologies/product-market-codes/M13062Game Theory, Economics, Social and Behav. Scienceshttps://scigraph.springernature.com/ontologies/product-market-codes/M13011Systems Theory, Controlhttps://scigraph.springernature.com/ontologies/product-market-codes/M13070Probabilities.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.510Back Kerryauthttp://id.loc.gov/vocabulary/relators/aut478895Bielecki Tomasz Rauthttp://id.loc.gov/vocabulary/relators/autHipp Christianauthttp://id.loc.gov/vocabulary/relators/autPeng Shigeauthttp://id.loc.gov/vocabulary/relators/autSchachermayer Walterauthttp://id.loc.gov/vocabulary/relators/autFrittelli Marcoedthttp://id.loc.gov/vocabulary/relators/edtRunggaldier Wolfgang Jedthttp://id.loc.gov/vocabulary/relators/edtCentro internazionale matematico estivo.European Mathematical Society.CIME-EMS School on "Stochastic Methods in Finance"MiAaPQMiAaPQMiAaPQBOOK996466484603316Stochastic methods in finance262223UNISA