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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 6-12, 2003
Barnes and Noble
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
Current price: $54.99
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Barnes and Noble
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
Current price: $54.99
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This volume includes the five lecture courses given at the CIME-EMS School on "Shastic Methods in Finance" held in Bressanone/Brixen, Italy 2003. It deals with innovative methods, mainly from shastic analysis, that play a fundamental role in the mathematical modelling of finance and insurance: the theory of shastic processes, optimal and shastic control, shastic 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.