Biais / Runggaldier / Björk Financial Mathematics

Lectures given at the 3rd Session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in Bressanone, Italy, July 8-13, 1996
1997
ISBN: 978-3-540-68356-8
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, Band 1656, 316 Seiten, eBook

Reihe: Lecture Notes in Mathematics

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.

Zielgruppe

Research

Autoren/Hrsg.

Biais, Bruno

Björk, Thomas

Cvitanic, Jaksa

Cvitanic, Jakša

El Karoui, Nicole

Jouini, Elyes

Rochet, J. C.

Runggaldier, Wolfgang J.

Inhaltsverzeichnis

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.