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140122 ||| eng |
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|a 9783540446446
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| 100 |
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|a Back, Kerry
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| 245 |
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|a Stochastic Methods in Finance
|h Elektronische Ressource
|b Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003
|c by Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer ; edited by Marco Frittelli, Wolfgang J. Runggaldier
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| 250 |
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|a 1st ed. 2004
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| 260 |
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|a Berlin, Heidelberg
|b Springer Berlin Heidelberg
|c 2004, 2004
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| 300 |
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|a XVI, 312 p
|b online resource
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| 505 |
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|a 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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| 653 |
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|a Finance, Public
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| 653 |
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|a Mathematics in Business, Economics and Finance
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| 653 |
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|a Game Theory
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| 653 |
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|a Control theory
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| 653 |
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|a Systems Theory, Control
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| 653 |
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|a Probability Theory
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| 653 |
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|a Game theory
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| 653 |
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|a Public Economics
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| 653 |
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|a System theory
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| 653 |
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|a Social sciences / Mathematics
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| 653 |
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|a Probabilities
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| 700 |
1 |
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|a Bielecki, Tomasz R.
|e [author]
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| 700 |
1 |
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|a Hipp, Christian
|e [author]
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| 700 |
1 |
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|a Peng, Shige
|e [author]
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| 041 |
0 |
7 |
|a eng
|2 ISO 639-2
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| 989 |
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|b SBA
|a Springer Book Archives -2004
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| 490 |
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|a C.I.M.E. Foundation Subseries
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| 028 |
5 |
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|a 10.1007/b100122
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| 856 |
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|u https://doi.org/10.1007/b100122?nosfx=y
|x Verlag
|3 Volltext
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| 082 |
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|a 519.2
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| 520 |
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|a 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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