Shige Peng - Böcker
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3 produkter
3 produkter
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
Häftad, Engelska, 2004
534 kr
Skickas inom 10-15 vardagar
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.
Nonlinear Expectations and Stochastic Calculus under Uncertainty
with Robust CLT and G-Brownian Motion
Inbunden, Engelska, 2019
1 272 kr
Skickas inom 10-15 vardagar
This book is focused on the recent developments on problems of probability model uncertainty by using the notion of nonlinear expectations and, in particular, sublinear expectations.
Nonlinear Expectations and Stochastic Calculus under Uncertainty
with Robust CLT and G-Brownian Motion
Häftad, Engelska, 2020
1 272 kr
Skickas inom 10-15 vardagar
This book is focused on the recent developments on problems of probability model uncertainty by using the notion of nonlinear expectations and, in particular, sublinear expectations.