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

  • Authors
  • Kerry Back
  • Tomasz R. Bielecki
  • Christian Hipp
  • Shige Peng
  • Walter Schachermayer

Part of the Lecture Notes in Mathematics book series (LNM, volume 1856)

Table of contents

  1. Front Matter
    Pages I-XIII
  2. Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski
    Pages 27-126
  3. Walter Schachermayer
    Pages 255-293
  4. Back Matter
    Pages 295-307

About this book

Introduction

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.

Keywords

Measure credit risk insurance mathematical finance partial information risk measures stochastic process

Bibliographic information

  • DOI https://doi.org/10.1007/b100122
  • Copyright Information Springer-Verlag Berlin Heidelberg 2004
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-22953-7
  • Online ISBN 978-3-540-44644-6
  • Series Print ISSN 0075-8434
  • Series Online ISSN 1617-9692
  • About this book
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