Paris-Princeton Lectures on Mathematical Finance 2010: 2003 - Brossura

Cousin, Areski; Crépey, Stéphane; Guéant, Olivier; Hobson, David; Jeanblanc, Monique

Brossura

ISBN 10: 3642146597 ISBN 13: 9783642146596

Casa editrice: Springer, 2010

Riassunto

This fourth volume in the series presents cutting-edge research in self-contained, expository articles from specialists including Stéphane Crépey, Areski Cousin, Olivier Guéant, David Hobson, Monique Jeanblanc, Jean-Michel Lasry, Jean-Paul Laurent and others.

Su questo libro

Dalla quarta di copertina:

The Paris-Princeton Lectures on Mathematical Finance, of which this is the fourth volume, publish cutting-edge research in self-contained, expository articles from outstanding specialists - established or on the rise! The aim is to produce a series of articles that can serve as an introductory reference source for research in the field. The articles are the result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with articles by Areski Cousin, Monique Jeanblanc and Jean-Paul Laurent, Stéphane Crépey, Olivier Guéant, Jean-Michel Lasry and Pierre-Louis Lions, David Hobson, and Peter Tankov.

Contenuti:

Hedging CDO Tranches in a Markovian Environment.- About the Pricing Equations in Finance.- Mean Field Games and Applications.- The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices.- Pricing and Hedging in Exponential Lévy Models: Review of Recent Results

Su questa edizione

• Editore: Springer
• Data di pubblicazione: 2010
• ISBN 10: 3642146597
• ISBN 13: 9783642146596
• Rilegatura: Copertina flessibile
• Numero edizione: 1
• Numero di pagine: 376
• Redattore: Carmona René, Çınlar Erhan, Ekeland Ivar, Jouini Elyès, Scheinkman Jose A.