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 /

• Main Authors: Back, Kerry (Author, http://id.loc.gov/vocabulary/relators/aut), Bielecki, Tomasz R. (http://id.loc.gov/vocabulary/relators/aut), Hipp, Christian (http://id.loc.gov/vocabulary/relators/aut), Peng, Shige (http://id.loc.gov/vocabulary/relators/aut), Schachermayer, Walter (http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Other Authors: Frittelli, Marco (Editor, http://id.loc.gov/vocabulary/relators/edt), Runggaldier, Wolfgang J. (Editor, http://id.loc.gov/vocabulary/relators/edt)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2004.
• Edition: 1st ed. 2004.
• Series: C.I.M.E. Foundation Subseries ; 1856
• Subjects: 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.
• Physical Description: XVI, 312 p. online resource.
• ISBN: 9783540446446
• DOI: 10.1007/b100122

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.