Bank / Carmona / Touzi Paris-Princeton Lectures on Mathematical Finance 2002

Erscheinungsjahr 2003
ISBN: 978-3-540-44859-4
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, Band 1814, 178 Seiten, eBook

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

Touzi, Nizar

Baudoin, Fabrice

Föllmer, Hans

Rogers, L. C. G.

Soner, Halil Mete

Carmona, René

Çinlar, Erhan

Ekeland, Ivar

Scheinkman, Jose A.

Jouini, Elyès

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.