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Kerry Back & Tomasz R. Bielecki
Stochastic Methods in Finance [PDF ebook]
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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Hoes van Kerry Back & Tomasz R. Bielecki: Stochastic Methods in Finance (PDF)

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.

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Taal Engels ● Formaat PDF ● ISBN 9783540446446 ● Editor Marco Frittelli & Wolfgang J. Runggaldier ● Uitgeverij Springer Berlin Heidelberg ● Gepubliceerd 2004 ● Downloadbare 3 keer ● Valuta EUR ● ID 6318213 ● Kopieerbeveiliging Adobe DRM

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