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Paris-Princeton lectures on mathematical finance 2010

By: Contributor(s): Material type: TextTextSeries: Lecture notes in mathematics, 2003Publication details: Springer 2011 HeidelbergDescription: x, 359 p.: ill. Includes bibliographical referencesISBN:
  • 9783642146596
Subject(s): DDC classification:
  • 332.0151 C6P2
Summary: The Paris-Princeton Lectures on Mathematical Finance, of which this is the fourth volume, publish cutting-edge research in self-contained, expository articles from outstanding specialists - established or on the rise! The aim is to produce a series of articles that can serve as an introductory reference source for research in the field. The articles are the result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with articles by Areski Cousin, Monique Jeanblanc and Jean-Paul Laurent, Stéphane Crépey, Olivier Guéant, Jean-Michel Lasry and Pierre-Louis Lions, David Hobson, and Peter Tankov. https://www.springer.com/in/book/9783642146596#otherversion=9783642146602
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Item type Current library Item location Collection Shelving location Call number Status Date due Barcode
Books Vikram Sarabhai Library Rack 17-B / Slot 633 (0 Floor, West Wing) Non-fiction General Stacks 332.0151 C6P2 (Browse shelf(Opens below)) Available 202466

Table of Contents

Chapter 1: Hedging CDO Tranches in a Markovian Environment
Chapter 2: About the Pricing Equations in Finance
Chapter 3: Mean Field Games and Applications
Chapter 4: The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
Chapter 5: Pricing and Hedging in Exponential Lévy Models: Review of Recent Results

The Paris-Princeton Lectures on Mathematical Finance, of which this is the fourth volume, publish cutting-edge research in self-contained, expository articles from outstanding specialists - established or on the rise! The aim is to produce a series of articles that can serve as an introductory reference source for research in the field. The articles are the result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with articles by Areski Cousin, Monique Jeanblanc and Jean-Paul Laurent, Stéphane Crépey, Olivier Guéant, Jean-Michel Lasry and Pierre-Louis Lions, David Hobson, and Peter Tankov.

https://www.springer.com/in/book/9783642146596#otherversion=9783642146602

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