Paris-Princeton Lectures on Mathematical Finance 2002

2003
ISBN: 978-3-540-40193-3
Verlag: Springer-Verlag GmbH

Buch, Englisch, Band 1814, 178 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 600 g

Reihe: Lecture Notes in Mathematics

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.

Zielgruppe

Research

Autoren/Hrsg.

Bank, Peter

Baudoin, Fabrice

Föllmer, Hans

Rogers, L. C. G.

Soner, Halil Mete

Touzi, Nizar

Carmona, René

Çinlar, Erhan

Ekeland, Ivar

Jouini, Elyès

Scheinkman, Jose A.

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie

Inhaltsverzeichnis

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.