Stochastic methods in finance lectures
Material type:
TextLanguage: English Series: Lecture notes in mathematics; v 1856Publication details: Berlin Springer-Verlag 2004Description: xiii,306pISBN: - 3-540-22953-1
- 000SB:332 C397
| Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|
| Books | ISI Library, Kolkata | 000SB:332 C397 (Browse shelf(Opens below)) | Available | 125273 |
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| 000SB:332 B726 Statistics of financial markets : | 000SB:332 C243 Stochastic calculus for finance | 000SB:332 C287 Statistical analysis of financial data in R / | 000SB:332 C397 Stochastic methods in finance | 000SB:332 C454 Time series | 000SB:332 C454 Time series | 000SB:332 C582 Statistical tools for finance and insurance |
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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