Financial Mathematics
Biais, Bruno.
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 / [electronic resource] : by Bruno Biais, Thomas Björk, Jakša Cvitanić, Nicole El Karoui, Elyés Jouini, Jean Charles Rochet ; edited by Wolfgang J. Runggaldier. - VII, 316 p. online resource. - C.I.M.E. Foundation Subseries ; 1656 . - C.I.M.E. Foundation Subseries ; 1656 .
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.
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. B. Biais, J.C. Rochet: Risk-sharing, adverse selection and market structure.- T. Björk: Interest-rate theory.- J. Cvitanic: Optimal trading under constraints.- N. El Karoui, M.C. Quenez: Nonlinear pricing theory and backward stochastic differential equations.- E. Jouini: Market imperfections, equilibrium and arbitrage.
9783540683568
10.1007/BFb0091997 doi
Distribution (Probability theory.
Public finance.
Business mathematics.
Finance.
Differential equations, partial.
Functional analysis.
Probability Theory and Stochastic Processes.
Public Economics.
Business Mathematics.
Quantitative Finance.
Partial Differential Equations.
Functional Analysis.
QA273.A1-274.9 QA274-274.9
519.2
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 / [electronic resource] : by Bruno Biais, Thomas Björk, Jakša Cvitanić, Nicole El Karoui, Elyés Jouini, Jean Charles Rochet ; edited by Wolfgang J. Runggaldier. - VII, 316 p. online resource. - C.I.M.E. Foundation Subseries ; 1656 . - C.I.M.E. Foundation Subseries ; 1656 .
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.
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. B. Biais, J.C. Rochet: Risk-sharing, adverse selection and market structure.- T. Björk: Interest-rate theory.- J. Cvitanic: Optimal trading under constraints.- N. El Karoui, M.C. Quenez: Nonlinear pricing theory and backward stochastic differential equations.- E. Jouini: Market imperfections, equilibrium and arbitrage.
9783540683568
10.1007/BFb0091997 doi
Distribution (Probability theory.
Public finance.
Business mathematics.
Finance.
Differential equations, partial.
Functional analysis.
Probability Theory and Stochastic Processes.
Public Economics.
Business Mathematics.
Quantitative Finance.
Partial Differential Equations.
Functional Analysis.
QA273.A1-274.9 QA274-274.9
519.2