Paris-Princeton lectures on mathemical finance 2002
Résumé
The Paris-Princeton Lectures in Financial Mathematics, of which this is the first 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 P. Bank/H. Föllmer (Humboldt University, Berlin, Germany), F. Baudoin, L.C.G. Rogers, and M. Soner/N. Touzi.
Authors : M.H. Soner (Koc University, Istanbul, Turkey), N. Touzi (CREST, Malakoff, France), F. Baudoin (Vienna University of Technology, Vienna, Austria), L.C.G. Rogers (Cambridge University, UK), P. Bank (Humboldt University, Berlin, Germany), H. Föllmer (Humboldt University, Berlin, Germany).
Contents
- American Options, Multi-Armed Bandits, dnd Optimal Consumption Plans : A Unifying View
- Modelling Anticipations on Financial Markets
- Duality in Constrained Optimal Investment and Consumption problems: A Synthesis
- The Problem of Super-Replication under Constraints
- References
L'auteur - Collectif Springer
Autres livres de Collectif Springer
Caractéristiques techniques
| PAPIER | |
| Éditeur(s) | Springer |
| Auteur(s) | Collectif Springer |
| Parution | 09/09/2003 |
| Nb. de pages | 182 |
| Format | 15,5 x 23,5 |
| Couverture | Broché |
| Poids | 280g |
| Intérieur | Noir et Blanc |
| EAN13 | 9783540401933 |
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