Lectures given at the 3rd Session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in Bressanone, Italy, July 8-13, 1996
Series: Lecture Notes in Mathematics, Vol. 1656
Subseries: C.I.M.E. Foundation Subseries
Biais, B., Björk, Th., Cvitanic, J., El Karoui, N., Jouini, E., Rochet, J.C.
Runggaldier, Wolfgang J. (Ed.)
1997, VII, 316 p.
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Financial Mathematics is an exciting, emerging field of application. The five sets of course notes in this book provide a bird's eye view of the current "state of the art" and directions of research. For graduate students it will therefore serve as an introduction to the field while reseachers will find it a compact source of reference. The reader is expected to have a good knowledge of the basic mathematical tools corresponding to an introductory graduate level, and sufficient familiarity with probabilistic methods, in particular stochastic analysis.
B. Biais, J.C. Rochet: Risk-sharing, adverse selection and market structure.- T. Björk: Interest-rate theory.- J. Cvitanic: Optimal trading under constraints.- N. El Karoui, M.C. Quenez: Nonlinear pricing theory and backward stochastic differential equations.- E. Jouini: Market imperfections, equilibrium and arbitrage.
Content Level » Research
Keywords » Arbitrage - Market microstructure - Stochastic Differential Equations - Trading under constraints - market imperfections - sets - theory
Related subjects » Analysis - Dynamical Systems & Differential Equations - Probability Theory and Stochastic Processes - Public Finance - Quantitative Finance
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