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
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...
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| 格式: | Livre numérique |
| 語言: | Anglais |
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| Edition sous un autre format: | • 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, K. Back, T.R. Bielecki, C. Hipp... [et al.], 2004, Berlin, Springer, 1 vol. (XIII-306 p.), Lecture notes in mathematics, 3-540-22953-1 • Stochastic Methods in Finance, Texte imprimé, 9783662179529 |
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| 245 | 0 | 0 | |a Stochastic Methods in Finance : |b Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003 |c Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer ; editors, M. Frittelli, W. Runggaldier. |
| 260 | |a Berlin [etc.] : |b Springer. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 0 | |a Lecture notes in mathematics |v 1856 |x 1617-9692 | |
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 505 | 0 | |a Preface -- Kerry Back: Incomplete and Asymmetric Information in Asset Pricing Theory -- Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski: Modeling and Valuation of Credit Risk -- Christian Hipp: Stochastic Control with Application in Insurance -- Shige Peng: Nonlinear Expectations, Nonlinear Evaluations and Risk Measures -- Walter Schachermayer: Utility Maximisation in Incomplete Markets. | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a 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. | ||
| 650 | |a Modèles stochastiques d'apprentissage | ||
| 650 | |a Mathématiques financières | ||
| 650 | |a Théorie des jeux | ||
| 650 | |a Théorie de la commande | ||
| 650 | |a Probabilités | ||
| 650 | |a Mathématiques | ||
| 650 | |a Finances |x Modèles mathématiques | ||
| 650 | |a Actes de congrès | ||
| 700 | 1 | |a Back, Kerry. |4 aut | |
| 700 | 1 | |a Peng, Shige. |4 aut | |
| 700 | 1 | |a Hipp, Christian. |4 aut | |
| 700 | 1 | |a Bielecki, Tomasz R., |d 1955- |4 aut | |
| 700 | 1 | |a Schachermayer, Walter, |d 1950-...., |c mathématicien. |4 aut | |
| 700 | 1 | |a Frittelli, Marco, |d 19..- |4 pbd | |
| 700 | 1 | |a Runggaldier, Wolfgang J., |d 19..-...., |c mathématicien. |4 pbd | |
| 711 | 2 | |a C.I.M.E.-E.M.S. Summer School on Stochastic Methods in Finance |d (2003 |c :Bressanone/Brixen; Italy). |4 aut | |
| 776 | 0 | |0 082976996 |t Stochastic methods in finance |o lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003 |f K. Back, T.R. Bielecki, C. Hipp... [et al.] |d 2004 |c Berlin |n Springer |p 1 vol. (XIII-306 p.) |s Lecture notes in mathematics |z 3-540-22953-1 | |
| 776 | 0 | |t Stochastic Methods in Finance |b Texte imprimé |z 9783662179529 | |
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