ENGLISH

Paris-Princeton Lectures on Mathematical Finance 2004

By Ivar Ekeland , René A. Carmona , Arturo Kohatsu-Higa , Jean-Michel Lasry , Pierre-Louis Lions , Huyên Pham , Erik Taflin (auth.)

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
2007
ISBN
9783540733263, 3540733264
Language
english
Format
DJVU
Filesize
2 MB (2195500 bytes)
Series
Lecture Notes in Mathematics 1919
Edition
1
Pages
248\255
Time added
2010-04-25 21:59:20
EconomicsQuantitative Finance; Game TheorySocial and Behav. Sciences; Probability Theory and

Description

The Paris-Princeton Lectures in Financial Mathematics, of which this is the third volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The aim is to produce a series of articles that can serve as an introductory reference for research in the field. It arises as a result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with articles by René Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, Pierre-Louis Lions/Jean-Michel Lasry, and Hyuên Pham. Front Matter....Pages i-viii HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets....Pages 1-50 Optimal Bond Portfolios....Pages 51-102 Models for Insider Trading with Finite Utility....Pages 103-171 Large Investor Trading Impacts on Volatility....Pages 173-190 Some Applications and Methods of Large Deviations in Finance and Insurance....Pages 191-244 Back Matter....Pages 245-249

Similar books