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Stochastic Methods in Finance

Stochastic Methods in Finance

Kerry Back

66,12 €
IVA incluido
Disponible
Editorial:
Springer Nature B.V.
Año de edición:
2004
Materia
Ciencias de la computación
ISBN:
9783540229537
66,12 €
IVA incluido
Disponible

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Sobre IBD

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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