Stochastic Methods in Finance
- Kerry Back
- Tomasz R. Bielecki
- Christian Hipp
- Shige Peng
- Walter Schachermayer
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Know about the book -
Stochastic Methods in Finance is written by Kerry Back and published by Springer. It's available with International Standard Book Number or ISBN identification 3540446443 (ISBN 10) and 9783540446446 (ISBN 13).
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.
