Stochastic Methods in Finance Lectures given at the C.I.M.E.-E.M.S.
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 mat
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K. Back S. Peng
T.R. Bielecki C. Hipp W. Schachermayer
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 Editors: M. Frittelli W. Runggaldier
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Editors and Authors Kerry Back Mays Business School Department of Finance 310C Wehner Bldg. College Station, TX 77879-4218, USA
Shige Peng Institute of Mathematics Shandong University 250100 Jinan People’s Republic of China
e-mail: [email protected]
e-mail: [email protected]
Tomasz R. Bielecki Department of Applied Mathematics Illinois Inst. of Technology 10 West 32nd Street Chicago, IL 60616, USA
Wolfgang J. Runggaldier Dipartimento di Matematica Pura ed Applicata Universut´a degli Studi di Padova via Belzoni 7 35100 Padova, Italy
e-mail: [email protected]
e-mail: [email protected]
Marco Frittelli Dipartimento di Matematica per le Decisioni Universit´a degli Studi di Firenze via Cesare Lombroso 6/17 50134 Firenze, Italy
Walter Schachermayer Financial and Actuarial Mathematics Vienna University of Technology Wiedner Hauptstrasse 8/105-1 1040 Vienna, Austria
e-mail: [email protected]
e-mail: [email protected]
Christian Hipp Institute for Finance, Banking and Insurance University of Karlsruhe Kronenstr. 34 76133 Karlsruhe, Germany e-mail: [email protected]
Library of Congress Control Number: 2004114748
Mathematics Subject Classification (2000): 60G99, 60-06, 91-06, 91B06, 91B16, 91B24, 91B28, 91B30, 91B70, 93-06, 93E11, 93E20 ISSN 0075-8434 ISBN 3-540-22953-1 Springer-Verlag Berlin Heidelberg New York DOI: 10.1007/b100122 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specif ically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microf ilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable for prosecution under the German Copyright Law. Springer is a part of Springer Science + Business Media springeronline.com c Springer-Verlag Berlin Heidelberg 2004 Printed in Germany The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specif ic statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Typesetting: Camera-ready TEX output by the authors 41/3142/ du - 543210 - Printed on acid-free paper
Preface
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 reflecte
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