Paris-Princeton Lectures on Mathematical Finance 2013

Editors: Vicky Henderson, Ronnie Sircar
1. Auflage 2013
ISBN: 978-3-319-00412-9
Verlag: Springer

Buch, Englisch, 316 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 4978 g

Reihe: Lecture Notes in Mathematics

The current volume presents four chapters touching on some of the most important and modern areas of research in Mathematical Finance: asset price bubbles (by Philip Protter); energy markets (by Fred Espen Benth); investment under transaction costs (by Paolo Guasoni and Johannes Muhle-Karbe); and numerical methods for solving stochastic equations (by Dan Crisan, K. Manolarakis and C. Nee).The Paris-Princeton Lecture Notes on Mathematical Finance, of which this is the fifth volume, publish cutting-edge research in self-contained, expository articles from renowned specialists. The aim is to produce a series of articles that can serve as an introductory reference source for research in the field.

Zielgruppe

Research

Autoren/Hrsg.

Benth, Fred Espen

Crisan, Dan

Guasoni, Paolo

Manolarakis, Konstantinos

Muhle-Karbe, Johannes

Nee, Colm

Protter, Philip

Fachgebiete

• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik

Inhaltsverzeichnis

Preface: Vicky Henderson & Ronnie Sircar .- Philip Protter: A Mathematical Theory of FinancialBubbles .- Fred Espen Benth: Stochastic Volatility and Dependency in Energy Markets – Multi-Factor Modelling .- Paolo Guasoni: Portfolio Choice with Transaction Costs: a User's Guide.- Dan Crisan: Cubature Methods and Applications .