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.
|Titolo:||Stochastic methods in finance|
|Autori interni:||FRITTELLI, MARCO|
|Data di pubblicazione:||2004|
|Digital Object Identifier (DOI):||10.1007/b100122|
|Citazione:||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.|
|Appare nelle tipologie:||06 - Curatela di volume|