| 书目名称 | Stochastic Methods in Finance |
| 副标题 | Lectures given at th |
| 编辑 | Kerry Back,Tomasz R. Bielecki,Walter Schachermayer |
| 视频video | http://file.papertrans.cn/878/877995/877995.mp4 |
| 概述 | Includes supplementary material: |
| 丛书名称 | Lecture Notes in Mathematics |
| 图书封面 |  |
| 描述 | .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. . |
| 出版日期 | Book 2004 |
| 关键词 | Measure; credit risk; insurance; mathematical finance; partial information; risk measures; stochastic proc |
| 版次 | 1 |
| doi | https://doi.org/10.1007/b100122 |
| isbn_softcover | 978-3-540-22953-7 |
| isbn_ebook | 978-3-540-44644-6Series ISSN 0075-8434 Series E-ISSN 1617-9692 |
| issn_series | 0075-8434 |
| copyright | Springer-Verlag Berlin Heidelberg 2004 |
|Archiver|手机版|小黑屋|
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