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, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer ; edited by Marco Frittelli, Wolfgang J. Runggaldier
(Visualizza in formato marc)
(Visualizza in BIBFRAME)
| Autore: |
Back Kerry
|
| Titolo: |
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, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer ; edited by Marco Frittelli, Wolfgang J. Runggaldier
|
| Pubblicazione: | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2004 |
| Edizione: | 1st ed. 2004. |
| Descrizione fisica: | 1 online resource (XVI, 312 p.) |
| Disciplina: | 510 |
| Soggetto topico: | 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 | |
| Persona (resp. second.): | BieleckiTomasz R |
| HippChristian | |
| PengShige | |
| SchachermayerWalter | |
| FrittelliMarco | |
| RunggaldierWolfgang J | |
| Note generali: | Bibliographic Level Mode of Issuance: Monograph |
| Nota di bibliografia: | Includes bibliographical references. |
| Nota di contenuto: | 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. |
| Sommario/riassunto: | 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. |
| Titolo autorizzato: | Stochastic methods in finance |
| ISBN: | 3-540-44644-3 |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910144617303321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
C.I.M.E. Foundation Subseries ; ; 1856