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 (Lecture Notes in Mathematics / Fondazione C.I.M.E., Firenze): Kerry Back, Tomasz R. Bielecki, Christian Hipp, Shige Peng, Walter Schachermayer, Marco Frittelli, Wolfgang Runggaldier
Springer | ISBN: 3540229531 | December 22, 2004 | djvu (ocr) | 307 pages | 2.88 MB
A considerable part of the vast development in Mathematical Finance over the last two decades was determined by the application of stochastic methods. These were therefore chosen as the focus of the 2003 School on ``Stochastic Methods in Finance". The growing interest of the mathematical community in this field was also re?ected by the extraordinarily high number of applications for the CIME-EMS School. It was attended by 115 scientists and researchers, selected from among over 200 applicants. The attendees came from all continents: 85 were Europeans, among them 35 Italians.
The aim of the School was to provide a broad and accurate knowledge of some of the most up-to-date and relevant topics in Mathematical Finance. Particular attention was devoted to the investigation of innovative methods from stochastic analysis that play a fundamental role in mathematical modeling in finance or insurance: the theory of stochastic processes, optimal and stochastic control, stochastic differential equations, convex analysis and duality theory.
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