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.

By:

Bank, Peter [author.]

Contributor(s):

Material type: Text

TextSeries: Lecture Notes in Mathematics ; 1814Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2003Description: X, 178 p. online resourceContent type:

text

Media type:

computer

Carrier type:

online resource

ISBN:

9783540448594

Subject(s):

Additional physical formats: Printed edition:: No title; Printed edition:: No titleDDC classification:

519 23

LOC classification:

HB135-147

Online resources:

Click here to access online

Contents:

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.

In: Springer eBooksSummary: 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.

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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.

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