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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. ファイナンスの確率論的方法
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| 著者・編者 | Back, Kerry / Bielecki, T. R. / Hipp, C. et al., |
|---|---|
| シリーズ | Lecture Notes in Mathematics |
| 出版社 | (Springer, GW) |
| 出版年月 | 2004 |
| ページ数 | xiii, 307 pp. |
| 言語 | ENG |
| ニュース番号 | ＜519-297＞ |
解説
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.