René Carmona, Ivar Ekeland, Jean-Michel Lasry

Paris-Princeton Lectures on Mathematical Finance 2004

Herausgegeben:Carmona, René; Ekeland, Ivar; Çinlar, Erhan; Jouini, Elyès; Scheinkman, Jose A.; Touzi, Nizar

• Broschiertes Buch

Produktbeschreibung

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.

Produktdetails

• Lecture Notes in Mathematics 1919
• Verlag: Springer / Springer Berlin Heidelberg / Springer, Berlin
• Artikelnr. des Verlages: 12083206, 978-3-540-73326-3
• 2007
• Seitenzahl: 260
• Erscheinungstermin: 1. Oktober 2007
• Englisch
• Abmessung: 235mm x 155mm x 15mm
• Gewicht: 422g
• ISBN-13: 9783540733263
• ISBN-10: 3540733264
• Artikelnr.: 22923782

Autorenporträt

Rene A. Carmona, Princeton University, Prinecton, NJ, USA / Ivar Ekeland, University of British Columbia, Vancouver, BC, Canada / Arturo Kohatsu-Higa, Osaka University, Osaka, Japan / Jean-Michel Lasry, Calyon, Paris, France / Pierre-Louis Lions, Université Paris IX, Paris, France / Huyen Pham, Université Paris VII, Paris, France / Erik Taflin, EISTI, Cergy, France

Inhaltsangabe

HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets.- Optimal Bond Portfolios.- Models for Insider Trading with Finite Utility.- Large Investor Trading Impacts on Volatility.- Some Applications and Methods of Large Deviations in Finance and Insurance.