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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 reflected 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. | Lecture Notes in Mathematics Editors J.-M. Morel Cachan F. Takens Groningen B. Teissier Paris Subseries Fondazione C.I.M.E. Firenze Adviser Pietro Zecca 1856 K. Back T.R. Bielecki C. Hipp S. Peng 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 Fondazione C.I.M.E 1 Springer Editors and Authors Kerry Back Mays Business School Department of Finance 310C Wehner Bldg. College Station TX 77879-4218 USA e-mail back@olin.wustl.edu Tomasz R. Bielecki Department of Applied Mathematics Illinois Inst. of Technology 10 West 32nd Street Chicago IL 60616 USA e-mail bielecki@iit.edu Marco Frittelli Dipartimento di Matematica per le Decisioni Universitá degli Studi di Firenze via Cesare Lombroso 6 17 50134 Firenze Italy e-mail marco.frittelli@dmd.unifi.it Christian Hipp Institute for Finance Banking and Insurance University of Karlsruhe Kronenstr. 34 76133 Karlsruhe Germany e-mail christian.hipp@wiwi.uni-karlsruhe.de Shige Peng Institute of Mathematics Shandong University 250100 Jinan People s Republic of China e-mail peng@sdu.edu.cn Wolfgang J. Runggaldier Dipartimento di Matematica Pura ed Applicata Universuta degli Studi di Padova via Belzoni 7 35100 Padova Italy e-mail runggal@math.unipd.it Walter Schachermayer Financial and Actuarial Mathematics Vienna University ofTechnology Wiedner Hauptstrasse 8 105-1 1040 Vienna Austria e-mail wschach@fam.tuwien.ac.at 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 microfilm or in
