| 000 -LEADER |
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| fixed length control field |
03370nam a22005895i 4500 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| ISBN |
9783540446446 |
| -- |
978-3-540-44644-6 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
519.2 |
| 100 1# - MAIN ENTRY--AUTHOR NAME |
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| Personal name |
Back, Kerry. |
| 245 10 - TITLE STATEMENT |
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| Title |
Stochastic Methods in Finance |
| Sub Title |
Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003 / |
| Statement of responsibility, etc |
by Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer. |
| 260 #1 - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
|---|
| Place of publication |
Berlin, Heidelberg : |
| Name of publisher |
Springer Berlin Heidelberg, |
| Year of publication |
2004. |
| 300 ## - PHYSICAL DESCRIPTION |
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| Number of Pages |
XVI, 312 p. |
| Other physical details |
online resource. |
| 490 1# - SERIES STATEMENT |
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| Series statement |
Lecture Notes in Mathematics, Fondazione C.I.M.E., Firenze, |
| 505 0# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
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. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
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 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical Term |
Mathematics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical Term |
Finance. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical Term |
Systems theory. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical Term |
Distribution (Probability theory). |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical Term |
Mathematics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical Term |
Probability Theory and Stochastic Processes. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical Term |
Quantitative Finance. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical Term |
Game Theory, Economics, Social and Behav. Sciences. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical Term |
Systems Theory, Control. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Bielecki, Tomasz R. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Hipp, Christian. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Peng, Shige. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Schachermayer, Walter. |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
http://dx.doi.org/10.1007/b100122 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Koha item type |
E-BOOKS |
| 264 #1 - |
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Berlin, Heidelberg : |
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Springer Berlin Heidelberg, |
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2004. |
| 336 ## - |
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text |
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txt |
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rdacontent |
| 337 ## - |
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computer |
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c |
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rdamedia |
| 338 ## - |
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online resource |
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cr |
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rdacarrier |
| 347 ## - |
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text file |
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PDF |
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rda |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE |
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1617-9692 ; |
