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100   $a20121227d2004      u|             0
101 0 $aeng
135   $aurnn|008mamaa
181   $ctxt
182   $cc
183   $acr
200 10$aStochastic Methods in Finance$b[electronic resource] $eLectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003 /$fby Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer ; edited by Marco Frittelli, Wolfgang J. Runggaldier
205   $a1st ed. 2004.
210  1$aBerlin, Heidelberg :$cSpringer Berlin Heidelberg :$cImprint: Springer,$d2004.
215   $a1 online resource (XVI, 312 p.) 
225 1 $aC.I.M.E. Foundation Subseries ;$v1856
300   $aBibliographic Level Mode of Issuance: Monograph
311   $a3-540-22953-1 
320   $aIncludes bibliographical references.
327   $aPreface -- 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.
330   $aThis volume includes the five lecture courses given at the CIME-EMS School on "Stochastic Methods in Finance" held in Bressanone/Brixen, Italy 2003. It deals with innovative methods, mainly from stochastic analysis, that play a fundamental role in the mathematical modelling of finance and insurance: the theory of stochastic processes, optimal and stochastic control, stochastic differential equations, convex analysis and duality theory. Five topics are treated in detail: Utility maximization in incomplete markets; the theory of nonlinear expectations and its relationship with the theory of risk measures in a dynamic setting; credit risk modelling; the interplay between finance and insurance; incomplete information in the context of economic equilibrium and insider trading.
410  0$aC.I.M.E. Foundation Subseries ;$v1856
606   $aProbabilities
606   $aPublic finance
606   $aEconomics, Mathematical 
606   $aGame theory
606   $aSystem theory
606   $aProbability Theory and Stochastic Processes$3https://scigraph.springernature.com/ontologies/product-market-codes/M27004
606   $aPublic Economics$3https://scigraph.springernature.com/ontologies/product-market-codes/W34000
606   $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062
606   $aGame Theory, Economics, Social and Behav. Sciences$3https://scigraph.springernature.com/ontologies/product-market-codes/M13011
606   $aSystems Theory, Control$3https://scigraph.springernature.com/ontologies/product-market-codes/M13070
615  0$aProbabilities.
615  0$aPublic finance.
615  0$aEconomics, Mathematical .
615  0$aGame theory.
615  0$aSystem theory.
615 14$aProbability Theory and Stochastic Processes.
615 24$aPublic Economics.
615 24$aQuantitative Finance.
615 24$aGame Theory, Economics, Social and Behav. Sciences.
615 24$aSystems Theory, Control.
676   $a510
700   $aBack$b Kerry$4aut$4http://id.loc.gov/vocabulary/relators/aut$0478895
702   $aBielecki$b Tomasz R$4aut$4http://id.loc.gov/vocabulary/relators/aut
702   $aHipp$b Christian$4aut$4http://id.loc.gov/vocabulary/relators/aut
702   $aPeng$b Shige$4aut$4http://id.loc.gov/vocabulary/relators/aut
702   $aSchachermayer$b Walter$4aut$4http://id.loc.gov/vocabulary/relators/aut
702   $aFrittelli$b Marco$4edt$4http://id.loc.gov/vocabulary/relators/edt
702   $aRunggaldier$b Wolfgang J$4edt$4http://id.loc.gov/vocabulary/relators/edt
712 02$aCentro internazionale matematico estivo.
712 02$aEuropean Mathematical Society.
712 12$aCIME-EMS School on "Stochastic Methods in Finance"
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a996466484603316
996   $aStochastic methods in finance$9262223
997   $aUNISA