by John Nikas

Last update: 20/01/2004

Summer School on

STOCHASTIC  FINANCE FOR INSURANCE

22 - 27 September 2003, Dimitsana, Arcadia, Greece

Sponsored  by the National Bank of Greece -- Under the auspices of the University of Patras, Greece


 

Bibliography

We list a (necessarily incomplete) list of books that can be used as a reference for the Summer School. However, many of the topics that will be covered cannot be found in books. The list is only indicative.
 

  1. Mathematical finance
    • Baxter, M. and A. Rennie.
      Financial Calculus: An Introduction to Derivative Pricing.
      Cambridge Univ. Press, Cambridge, 1996.
    • Karatzas, I. and S.E. Shreve.
      Methods of Mathematical Finance.
      Springer-Verlag, New York, 1998.
    • Lamberton, D. and Lapeyre, B.
      Introduction to stochastic calculus applied to finance.
      Chapman & Hall, London, 1996.
    • Steele, J.M.
      Stochastic Calculus and Financial Applications.
      Springer Verlag, New York, 2000.
  2. Stochastic calculus
    • Revuz D. and M. Yor.
      Continuous Martingales and Brownian Motion.
      Springer-Verlag, New York, 1999.
    • Karatzas, I. and S.E. Shreve.
      Brownian Motion and Stochastic Calculus.
      Springer-Verlag, New York, 1999.
    • Oksendal, B.
      Stochastic Differential Equations: An Introduction with Applications.
      Springer Verlag, Berlin, 1998.
  3. Levy processes
    • Bertoin, J.
      Levy Processes.
      Cambridge Univ. Press, Cambridge, 1996.
    • Sato, K.-I.
      Levy Processes and Infinitely Divisible Distributions.
      Cambridge Univ. Press, Cambridge, 1999.
  4. Fractional Brownian motion
    • Samorodnitsky, G. and M.S. Taqqu.
      Stable Non-Gaussian Random Processes: Stochastic Models With Infinite Variance.
      Chapman and Hall, New York, 1994.

 

 

 

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