Cousin, A., Crépey, S., Guéant, O., Hobson, D., Jeanblanc, M., Lasry, J.-M., Laurent, J.-P., Lions, P.-L., Tankov, P.
Carmona, R., Çınlar, E., Ekeland, I., Jouini, E., Scheinkman, J.A., Touzi, N. (Eds.)
2011, X, 359p. 45 illus..
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The fourth volume in the series, inspired by exchanges between finance and financial mathematics experts in Paris and Princeton
Offers expository articles from outstanding specialists, both established and emerging
Includes articles by Jean-Paul Laurent, Pierre-Louis Lions and Peter Tankov and others
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.
Content Level »Research
Keywords »91B28, 91B70, 60G49, 49J55, 60H07, 90C46 - CDO tranches in a Markovian environment - Mean field games and applications - Pricing Equations in Finance - The Skorokhod Embedding Problem