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
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 modellin…
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Produktdetails
Weitere Autoren: Bielecki, Tomasz R. / Hipp, Christian / Peng, Shige / Schachermayer, Walter / Frittelli, Marco (Hrsg.) / Runggaldier, Wolfgang J. (Hrsg.)
- ISBN: 978-3-540-44644-6
- EAN: 9783540446446
- Produktnummer: 37217356
- Verlag: Springer Berlin Heidelberg
- Sprache: Englisch
- Erscheinungsjahr: 2004
- Seitenangabe: 312 S.
- Plattform: PDF
- Auflage: 2004
- Reihenbandnummer: 1856
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