![Stochastic Methods in Finance [Repost]](https://pixhost.icu/avaxhome/6f/70/0040706f_medium.jpg)
Stochastic Methods in Finance [Repost]
![Stochastic Methods in Finance [Repost]](https://pixhost.icu/avaxhome/6f/70/0040706f.jpg)
Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer, Marco Frittelli, Wolfgang J. Runggaldier - Stochastic Methods in Finance
Published: 2008-10-10 | ISBN: 3540229531 | PDF | 312 pages | 2.88 MB
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.