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The Resource 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, by Kerry Back, (electronic book)

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, by Kerry Back, (electronic book)

Label
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
Title
Stochastic Methods in Finance
Title remainder
Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003
Statement of responsibility
by Kerry Back
Creator
Contributor
Subject
Language
eng
Summary
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
Cataloging source
UkLiU
LC call number
  • QA3
  • HG106
LC item number
.L28 no. 1856
http://bibfra.me/vocab/lite/meetingDate
2003
http://bibfra.me/vocab/lite/meetingName
CIME-EMS School on "Stochastic Methods in Finance"
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
  • Back, K.
  • Frittelli, M.
  • Runggaldier, W. J.
  • Centro internazionale matematico estivo
  • European Mathematical Society
http://library.link/vocab/subjectName
  • Finance
  • Stochastic analysis
Label
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, by Kerry Back, (electronic book)
Instantiates
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Form of item
electronic
Isbn
9783540229537
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Reproduction note
Electronic resource.
Specific material designation
remote
Label
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, by Kerry Back, (electronic book)
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Form of item
electronic
Isbn
9783540229537
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Reproduction note
Electronic resource.
Specific material designation
remote

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