Cover image for Paris-Princeton Lectures on Mathematical Finance 2004
Paris-Princeton Lectures on Mathematical Finance 2004
Title:
Paris-Princeton Lectures on Mathematical Finance 2004
Author:
Carmona, René A. author.
ISBN:
9783540733270
Personal Author:
Physical Description:
X, 248 p. online resource.
Series:
Lecture Notes in Mathematics, 1919
Contents:
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.
Abstract:
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 René Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, Pierre-Louis Lions/Jean-Michel Lasry, and Hyuên Pham.
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