The volume collects the five lecture courses given at the CIME-EMS School on “Stochastic Methods in Finance” held in Bressanone, Italy 2003. It deals of innovative methods, mainly from stochastic analysis, that play a fundamental role in the mathematical modeling 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 non linear 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.
Stochastic methods in finance / K. Back, T. Bielecki, C. Hipp, S. Peng, W. Schachermayer ; [a cura di] M. Frittelli, W.J. Runggaldier. - Berlin : Springer, 2004. - ISBN 978-3-540-22953-7. [10.1007/b100122]
Stochastic methods in finance
M. Frittelli;
2004
Abstract
The volume collects the five lecture courses given at the CIME-EMS School on “Stochastic Methods in Finance” held in Bressanone, Italy 2003. It deals of innovative methods, mainly from stochastic analysis, that play a fundamental role in the mathematical modeling 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 non linear 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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