Lecture Notes in Mathematics

Paris-Princeton Lectures on Mathematical Finance 2002

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

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

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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.

Table of contents (4 chapters)

  • American Options, Multi–armed Bandits, and Optimal Consumption Plans: A Unifying View

    Bank, Peter (et al.)

    Pages 1-42

  • Modeling Anticipations on Financial Markets

    Baudoin, Fabrice

    Pages 43-94

  • Duality in constrained optimal investment and consumption problems: a synthesis

    Rogers, L.C.G.

    Pages 95-131

  • The Problem of Super-replication under Constraints

    Soner, H. Mete (et al.)

    Pages 133-172

Buy this book

eBook $34.99
price for USA (gross)
  • ISBN 978-3-540-44859-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $49.95
price for USA
  • ISBN 978-3-540-40193-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Paris-Princeton Lectures on Mathematical Finance 2002
Authors
Editors
  • René Carmona
  • Erhan Çınlar
  • Ivar Ekeland
  • Elyès Jouini
  • Jose A. Scheinkman
  • Nizar Touzi
Series Title
Lecture Notes in Mathematics
Series Volume
1814
Copyright
2003
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-44859-4
DOI
10.1007/b12041
Softcover ISBN
978-3-540-40193-3
Series ISSN
0075-8434
Edition Number
1
Number of Pages
X, 178
Topics