TY  - BOOK
AU  - Frittelli M ed.
ED  - C.I.M.E.-E.M.S. Summer School on Stochastic Methods in Finance
ED  - C.I.M.E.-E.M.S. summer school on stochastic methods in finance
TI  - Stochastic methods in finance: lectures
SN  - 3-540-22953-1
U1  - 000SB:332 
PY  - 2004///
CY  - Berlin
PB  - Springer-Verlag
KW  - Applied statistics
KW  - Financial economics
KW  - Stochastic processes
N2  - 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
ER  -