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Mathematics - Quantitative Finance | Paris-Princeton Lectures on Mathematical Finance 2002

Paris-Princeton Lectures on Mathematical Finance 2002

Series: Lecture Notes in Mathematics, Vol. 1814

Bank, P., Baudoin, F., Föllmer, H., Rogers, L.C.G., Soner, H.M., Touzi, N.

Carmona, R., Çınlar, E., Ekeland, I., Jouini, E., Scheinkman, J.A., Touzi, N. (Eds.)

2003, X, 178 p.

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  • About this book

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.

Content Level » Research

Keywords » American options - consumption - duality - dynamic programming - mathematical finance - mathematics - modeling - modeling financial markets - sets - super-replication

Related subjects » Applications - Probability Theory and Stochastic Processes - Quantitative Finance

Table of 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.

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