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  • © 2011

Paris-Princeton Lectures on Mathematical Finance 2010

Authors:

  1. Areski Cousin

    1. Université de Lyon Université Lyon 1, Lyon Cedex 07, France

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  2. Stéphane Crépey

    1. Département de Mathématiques, Université d’Evry, Evry, France

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  3. Olivier Guéant

    1. Paris, France

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  4. David Hobson

    1. Dept of Statistics, University of Warwick, Coventry, UK

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  5. Monique Jeanblanc

    1. Val d’Essonne Dépt. Mathématiques, Université d’Evry, Evry Cedex, France

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  6. Jean-Michel Lasry

    1. Institut de Finance, Université Paris-Dauphine, Paris Cedex 16, France

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  7. Jean-Paul Laurent

    1. 1 Panthéon-Sorbonne, Université Paris, Paris, France

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  8. Pierre-Louis Lions

    1. Collège de France, Paris CX 05, France

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  9. Peter Tankov

    1. Centre de Mathématiques Appliquées, Ecole Polytechnique, Palaiseau Cedex, France

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Part of the book series: Lecture Notes in Mathematics (LNM, volume 2003)

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Table of contents (5 chapters)

  1. Front Matter

    Pages i-x
    PDF

  2. Hedging CDO Tranches in a Markovian Environment

    • Areski Cousin, Monique Jeanblanc, Jean-Paul Laurent
    Pages 1-61

  3. About the Pricing Equations in Finance

    • Stéphane Crépey
    Pages 63-203

  4. Mean Field Games and Applications

    • Olivier Guéant, Jean-Michel Lasry, Pierre-Louis Lions
    Pages 205-266

  7. Back Matter

    Pages 361-366
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About this book

The Paris-Princeton Lectures in Financial Mathematics, 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 five articles by: 1. Areski Cousin, Monique Jeanblanc and Jean-Paul Laurent, 2. Stéphane Crépey, 3. Olivier Guéant, Jean-Michel Lasry and Pierre-Louis Lions, 4. David Hobson and 5. Peter Tankov.
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Keywords

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Authors and Affiliations

  • Université de Lyon Université Lyon 1, Lyon Cedex 07, France

    Areski Cousin

  • Département de Mathématiques, Université d’Evry, Evry, France

    Stéphane Crépey

  • Paris, France

    Olivier Guéant

  • Dept of Statistics, University of Warwick, Coventry, UK

    David Hobson

  • Val d’Essonne Dépt. Mathématiques, Université d’Evry, Evry Cedex, France

    Monique Jeanblanc

  • Institut de Finance, Université Paris-Dauphine, Paris Cedex 16, France

    Jean-Michel Lasry

  • 1 Panthéon-Sorbonne, Université Paris, Paris, France

    Jean-Paul Laurent

  • Collège de France, Paris CX 05, France

    Pierre-Louis Lions

  • Centre de Mathématiques Appliquées, Ecole Polytechnique, Palaiseau Cedex, France

    Peter Tankov

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Bibliographic Information

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Access via your institution

Buy it now

eBook USD 39.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 54.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

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