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

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.

List of contents

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.

About the author

Jak a Cvitani held positions at Columbia University (Statistics), University of Southern California (Mathematics and Economics), and currently at Caltech (Social Sciences). He has served on the editorial boards of journals in the areas of Financial Mathematics, Applied Probability and Optimization, as well as on the Council of the Bachelier Finance Society.§

Product details

• Authors: Brun Biais, Bruno Biais, Thoma Björk, Thomas Björk, Jak¿a Cvitanic, Jaksa Cvitanic, Jaksa et al Cvitanic, Nicole El Karoui, Elyes Jouini, J. C. Rochet
• Assisted by: Wolfgan J Runggaldier (Editor), Wolfgang J Runggaldier (Editor), Wolfgang J. Runggaldier (Editor)
• Publisher: Springer, Berlin
• Languages: English
• Product format: Paperback / Softback
• Released: 01.01.1997
• EAN: 9783540626428
• ISBN: 978-3-540-62642-8
• No. of pages: 316
• Weight: 466 g
• Series: Lecture Notes in Mathematics; Lecture Notes in Mathematics / C.I.M.E. Foundation Subseries; C.I.M.E. Foundation Subseries; Lecture Notes in Mathematics; C.I.M.E. Foundation Subseries
• Subjects: Education and learning > Schoolbooks, general education schools; Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics; Social sciences, law, business > Business > General, dictionaries