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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... 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 (Paperback, 2004 ed.)
Kerry Back; Edited by Marco Frittelli; Tomasz R. Bielecki; Edited by Wolfgang J Runggaldier; Christian Hipp, …
R1,633 Discovery Miles 16 330 Ships in 10 - 15 working days

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.

Duality in Mathematical Finance (Hardcover): Marco Frittelli, Sara Biagini, Giacomo Scandolo Duality in Mathematical Finance (Hardcover)
Marco Frittelli, Sara Biagini, Giacomo Scandolo
R1,609 Discovery Miles 16 090 Out of stock

This monograph presents an advanced and unified treatment of four important issues that have dominated the theoretical research in mathematical finance for the last ten years: (1) the fundamental theorem of asset pricing; (2) utility maximization in incomplete markets; (3) pricing in incomplete markets; (4) the risk measurement of a static payoff and of a cash-flow stream.

The powerful tools of convex analysis and duality theory are systematically applied to investigate these topics, under very general assumptions on the financial markets.

This duality approach reveals the prominent role of the investora (TM)s preferences in all these fundamental issues and contributes to a deeper understanding of the economic aspects of the theory.

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