Paris-Princeton Lectures on Mathematical Finance 2002
Bank, Peter.
Paris-Princeton Lectures on Mathematical Finance 2002 [electronic resource] / by Peter Bank, Hans Föllmer, Fabrice Baudoin, L.C.G. Rogers, H. Mete Soner, Nizar Touzi. - X, 178 p. online resource. - Lecture Notes in Mathematics, 1814 0075-8434 ; . - Lecture Notes in Mathematics, 1814 .
M.H. Soner, N. Touzi: The Problem of Super-replication under Constraints -- F. Baudoin: Modelling Anticipations on Financial Markets -- L.C.G. Rogers: Duality in Constrained Optimal Investment and Consumption problems: A Synthesis -- P. Bank, H. Föllmer: American Options, Multi-armed Bandits, and Optimal Consumption Plans: A Unifying View.
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, F. Baudoin, L.C.G. Rogers, and M. Soner/N. Touzi.
9783540448594
10.1007/b12041 doi
Finance.
Mathematics.
Distribution (Probability theory.
Quantitative Finance.
Game Theory, Economics, Social and Behav. Sciences.
Probability Theory and Stochastic Processes.
HB135-147
519
Paris-Princeton Lectures on Mathematical Finance 2002 [electronic resource] / by Peter Bank, Hans Föllmer, Fabrice Baudoin, L.C.G. Rogers, H. Mete Soner, Nizar Touzi. - X, 178 p. online resource. - Lecture Notes in Mathematics, 1814 0075-8434 ; . - Lecture Notes in Mathematics, 1814 .
M.H. Soner, N. Touzi: The Problem of Super-replication under Constraints -- F. Baudoin: Modelling Anticipations on Financial Markets -- L.C.G. Rogers: Duality in Constrained Optimal Investment and Consumption problems: A Synthesis -- P. Bank, H. Föllmer: American Options, Multi-armed Bandits, and Optimal Consumption Plans: A Unifying View.
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, F. Baudoin, L.C.G. Rogers, and M. Soner/N. Touzi.
9783540448594
10.1007/b12041 doi
Finance.
Mathematics.
Distribution (Probability theory.
Quantitative Finance.
Game Theory, Economics, Social and Behav. Sciences.
Probability Theory and Stochastic Processes.
HB135-147
519