Paris-Princeton Lectures on Mathematical Finance 2004
Carmona, Ren� A.
Paris-Princeton Lectures on Mathematical Finance 2004 [electronic resource] / by Ren� A. Carmona, Ivar Ekeland, Arturo Kohatsu-Higa, Jean-Michel Lasry, Pierre-Louis Lions, Huy�n Pham, Erik Taflin. - X, 248 p. online resource. - Lecture Notes in Mathematics, 1919 0075-8434 ; . - Lecture Notes in Mathematics, 1919 .
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.
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 Ren� Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, Pierre-Louis Lions/Jean-Michel Lasry, and Hyu�n Pham.
9783540733270
10.1007/978-3-540-73327-0 doi
Mathematics.
Game theory.
Economics, Mathematical.
Probabilities.
Mathematics.
Quantitative Finance.
Game Theory, Economics, Social and Behav. Sciences.
Probability Theory and Stochastic Processes.
HB135-147
519
Paris-Princeton Lectures on Mathematical Finance 2004 [electronic resource] / by Ren� A. Carmona, Ivar Ekeland, Arturo Kohatsu-Higa, Jean-Michel Lasry, Pierre-Louis Lions, Huy�n Pham, Erik Taflin. - X, 248 p. online resource. - Lecture Notes in Mathematics, 1919 0075-8434 ; . - Lecture Notes in Mathematics, 1919 .
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.
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 Ren� Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, Pierre-Louis Lions/Jean-Michel Lasry, and Hyu�n Pham.
9783540733270
10.1007/978-3-540-73327-0 doi
Mathematics.
Game theory.
Economics, Mathematical.
Probabilities.
Mathematics.
Quantitative Finance.
Game Theory, Economics, Social and Behav. Sciences.
Probability Theory and Stochastic Processes.
HB135-147
519