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＜電子ブック＞
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 / by Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer ; edited by Marco Frittelli, Wolfgang J. Runggaldier
(C.I.M.E. Foundation Subseries. ISSN:29461820 ; 1856)

版	1st ed. 2004.
出版者	(Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer)
出版年	2004
本文言語	英語
大きさ	XVI, 312 p : online resource
著者標目	*Back, Kerry author Bielecki, Tomasz R author Hipp, Christian author Peng, Shige author Schachermayer, Walter author Frittelli, Marco editor Runggaldier, Wolfgang J editor SpringerLink (Online service)
件　名	LCSH:Probabilities LCSH:Finance, Public LCSH:Social sciences -- Mathematics  全ての件名で検索 LCSH:Game theory LCSH:System theory LCSH:Control theory FREE:Probability Theory FREE:Public Economics FREE:Mathematics in Business, Economics and Finance FREE:Game Theory FREE:Systems Theory, Control
一般注記	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 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 HTTP:URL=https://doi.org/10.1007/b100122

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