Bruno Biais, Thomas Björk, Jaksa Cvitanic, Nicole El Karoui, Elyes Jouini, J. C. Rochet

Financial Mathematics (eBook, PDF)

Lectures given at the 3rd Session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in Bressanone, Italy, July 8-13, 1996
Redaktion: Runggaldier, Wolfgang J.

• Format: PDF

Produktbeschreibung

Financial Mathematics is an exciting, emerging field of application. The five sets of course notes in this book provide a bird's eye view of the current "state of the art" and directions of research. For graduate students it will therefore serve as an introduction to the field while reseachers will find it a compact source of reference. The reader is expected to have a good knowledge of the basic mathematical tools corresponding to an introductory graduate level, and sufficient familiarity with probabilistic methods, in particular stochastic analysis.

B. Biais, J.C. Rochet: Risk-sharing, adverse selection and market structure.- T. Björk: Interest-rate theory.- J. Cvitanic: Optimal trading under constraints.- N. El Karoui, M.C. Quenez: Nonlinear pricing theory and backward stochastic differential equations.- E. Jouini: Market imperfections, equilibrium and arbitrage.

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Produktdetails

• Verlag: Springer Berlin Heidelberg
• Seitenzahl: 316
• Erscheinungstermin: 15. November 2006
• Englisch
• ISBN-13: 9783540683568
• Artikelnr.: 54156651

Autorenporträt

Jak a Cvitani held positions at Columbia University (Statistics), University of Southern California (Mathematics and Economics), and currently at Caltech (Social Sciences). He has served on the editorial boards of journals in the areas of Financial Mathematics, Applied Probability and Optimization, as well as on the Council of the Bachelier Finance Society.

Inhaltsangabe

Risk sharing, adverse selection and market structure.- Interest rate theory.- Optimal trading under constraints.- Non-linear pricing theory and backward stochastic differential equations.- Market imperfections, equilibrium and arbitrage.