Paris-Princeton Lectures on Mathematical Finance 2013

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.

List of contents

Preface: Vicky Henderson & Ronnie Sircar.- Philip Protter: A Mathematical Theory of Financial Bubbles.- 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.

About the author

Ronnie Sircar taught for three years at the University of Michigan in the Department of Mathematics before moving to Princeton University in 2000. He is now a Professor in the Operations Research and Financial Engineering Department at Princeton and an affiliate member of the Bendheim Center for Finance and the Program in Applied and Computational Mathematics.

Summary

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.

Product details

• Authors: Fred Espe Benth, Fred Espen Benth, Da Crisan, Dan Crisan, Paolo Guasoni, Paolo et al Guasoni, Konstantinos Manolarakis, Johannes Muhle-Karbe, Colm Nee, Philip Protter
• Assisted by: Vick Henderson (Editor), Vicky Henderson (Editor), Sircar (Editor), Sircar (Editor), Ronnie Sircar (Editor)
• Publisher: Springer, Berlin
• Languages: English
• Product format: Paperback / Softback
• Released: 01.07.2013
• EAN: 9783319004129
• ISBN: 978-3-31-900412-9
• No. of pages: 316
• Dimensions: 158 mm x 234 mm x 20 mm
• Weight: 499 g
• Illustrations: IX, 316 p. 40 illus., 34 illus. in color.
• Series: Lecture Notes in Mathematics; Lecture Notes in Mathematics
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Miscellaneous; Social sciences, law, business > Business > General, dictionaries; B, Economic Sociology, Organizational Studies, Economic Sociology, Mathematics and Statistics, Sociology: work & labour, Economics, Mathematical, Quantitative Finance, Mathematics in Business, Economics and Finance