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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

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...

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Bibliographic Details
Main Authors: Back, Kerry, Bielecki, Tomasz R. (Author), Hipp, Christian (Author), Peng, Shige (Author)
Format: eBook
Language:English
Published: Berlin, Heidelberg Springer Berlin Heidelberg 2004, 2004
Edition:1st ed. 2004
Series:C.I.M.E. Foundation Subseries
Subjects:
Finance, Public
Mathematics In Business, Economics And Finance
Game Theory
Control Theory
Systems Theory, Control
Probability Theory
Public Economics
System Theory
Social Sciences / Mathematics
Probabilities
Online Access:
Collection: Springer Book Archives -2004 - Collection details see MPG.ReNa
Table of Contents:
  • 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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