Lectures given at the 3rd Session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in Bressanone, Italy, July, 8-13, 1996
Band: 1656, 316 Seiten, Kartoniert, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 1020 g
Reihe: Lecture Notes in Mathematics
Verlag: Springer Berlin Heidelberg
Biais / Björk / Rochet Financial MathematicsFinancial 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.
Weitere Infos & Material
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.