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.
Stochastic Methods in Finance
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