Paris-Princeton Lectures on Mathematical Finance 2004

The Paris-Princeton Lectures in Financial Mathematics, of which this is the third 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 René Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, Pierre-Louis Lions/Jean-Michel Lasry, and Hyuên Pham.

List of contents

HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets.- Optimal Bond Portfolios.- Models for Insider Trading with Finite Utility.- Large Investor Trading Impacts on Volatility.- Some Applications and Methods of Large Deviations in Finance and Insurance.

Summary

This is the third volume in the Paris-Princeton Lectures in Financial Mathematics, which publishes, on an annual basis, cutting-edge research in self-contained, expository articles from outstanding specialists, both established and upcoming. Coverage includes articles by René Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, Pierre-Louis Lions/Jean-Michel Lasry, and Huyên Pham.

Product details

• Authors: Ren Carmona, René Carmona, Rene A. Carmona, René A. Carmona, Iva Ekeland, Ivar Ekeland, Arturo Kohatsu-Higa, Jean-Michel Lasry, Jean-Michel et Lasry, Pierre-Louis Lions, Huyen pham, Huyên Pham, Erik Taflin
• Assisted by: Erhan Ç¿nlar (Editor), R. A. Carmona (Editor), René Carmona (Editor), E. Cinlar (Editor), Erha Çinlar (Editor), Erhan Çinlar (Editor), Erhan Çınlar (Editor), I. Ekeland (Editor), Ivar Ekeland (Editor), Ivar Ekeland et al (Editor), E. Jouini (Editor), Elyès Jouini (Editor), J. A. Scheinkman (Editor), Jose A. Scheinkman (Editor), N. Touzi (Editor), Nizar Touzi (Editor)
• Publisher: Springer, Berlin
• Languages: English
• Product format: Paperback / Softback
• Released: 01.01.2007
• EAN: 9783540733263
• ISBN: 978-3-540-73326-3
• No. of pages: 248
• Dimensions: 157 mm x 15 mm x 236 mm
• Weight: 422 g
• Illustrations: X, 248 p.
• Series: Lecture Notes in Mathematics; Lecture Notes in Mathematics
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Miscellaneous; Social sciences, law, business > Business > General, dictionaries