Stochastic methods in finance book pdf download

Author: Kerry Back

About the Author: Kerry Back is the J. Howard Creekmore Professor of Finance at Rice University’s Jones Graduate School of Business. He was previously a faculty member at Northwestern University, Indiana University, Washing­ton University in St. Louis, and Texas A&M University. At Washington University in St. Louis, he served as the Associate Dean for Academic Affairs of the Olin School of Business and was named a University Distinguished Faculty Member. Currently, he teaches derivatives and risk management to MBA students and asset pricing theory to PhD students at the Jones School. His research interests are in the areas of investments and market design, and he has served as an editor of the Review of Financial Studies, a co-editor of Finance & Stochastics, and an associate editor of the Journal of Finance and other journals. He received faculty research awards at Texas A&M and at Rice University, and he was recently inducted into the University of Kentucky Gatton School of Business Alumni Hall of Fame. He is the author of two, widely used textbooks and has published numerous articles in the top finance and economic journals, such as Econometrica, the Journal of Finance, and the Review of Financial Studies. His sole authored paper, “Asymmetric Information and Options,” won the 1993 best paper award in the Review of Financial Studies. Dr. Back is listed as one of the most prolific authors in the top finance journals according to Cooley and Heck (2009). He has served as Editor at the Review of Financial Studies and Finance and Stochastics, and has also served in editorial positions at the Journal of Finance, the Journal of Economic Theory, the Jour­nal of Economic Dynamics and Control, and Mathematical Finance. He was a visiting professor at Wharton and was named University Distinguished Faculty Member at Washington University in St. Louis. His doctoral students have been placed at MIT and Wharton.

Stochastic methods in finance book pdf download By Kerry Back

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.

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