Könyv Stochastic Methods in Finance Kerry Back

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

Nyelv: Angol
Kötés: Puha kötésű
Elérhetőség: Beszállítói készleten alacsony példányszámban
Küldés 13-18 napon belül
20 695 Ft
This volume includes the five lecture courses given at the CIME-EMS School on "Stochastic Methods in...

Információk a könyvről

Nyelv
Angol
Kötés
Könyv - Puha kötésű
Kiadva
2004
oldal
312
EAN
9783540229537
ISBN
3540229531
Enbook ID
01559747
Súly
472
Méretek
155 x 235 x 17

Teljes leírás

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.

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