Paris-Princeton Lectures on Mathematical Finance 2002 (Lecture Notes in Mathematics)

Peter Bank, Ren� A. Carmona, Erhan Cinlar, Ivar Ekeland, Ely�s Jouini, Fabrice Baudoin, Hans Follmer, L.C. G. Rogers, Mete Soner, Nizar Touzi

ISBN 10: 3540401938 / ISBN 13: 9783540401933

Editore: Springer Berlin Heidelberg 2010-06-02, 2010

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Codice articolo 6666-IUK-9783540401933

Dati bibliografici

• Titolo: Paris-Princeton Lectures on Mathematical Finance 2002 (Lecture Notes in Mathematics)
• Editore: Springer Berlin Heidelberg 2010-06-02
• Data di pubblicazione: 2010
• Lingua: Inglese
• ISBN 10: 3540401938
• ISBN 13: 9783540401933
• Rilegatura: Paperback
• Condizione: New

Descrizione articolo

Riassunto

The Paris-Princeton Lectures in Financial Mathematics, of which this is the first 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 P. Bank/H. Föllmer, F. Baudoin, L.C.G. Rogers, and M. Soner/N. Touzi.

Contenuti

M.H. Soner, N. Touzi: The Problem of Super-replication under Constraints.- F. Baudoin: Modelling Anticipations on Financial Markets.- L.C.G. Rogers: Duality in Constrained Optimal Investment and Consumption problems: A Synthesis.-  P. Bank, H. Föllmer: American Options, Multi-armed Bandits, and Optimal Consumption Plans: A Unifying View.