C.I.M.E. Foundation Subseries

Financial Mathematics

Lectures given at the 3rd Session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in Bressanone, Italy, July 8-13, 1996

Authors: Biais, B., Björk, Th., Cvitanic, J., El Karoui, N., Jouini, E., Rochet, J.C.

Editors: Runggaldier, Wolfgang J. (Ed.)

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  • ISBN 978-3-540-68356-8
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About this book

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.

Table of contents (5 chapters)

  • Risk sharing, adverse selection and market structure

    Biais, Bruno (et al.)

    Pages 1-51

  • Interest rate theory

    Björk, Tomas

    Pages 53-122

  • Optimal trading under constraints

    Cvitanić, Jakša

    Pages 123-190

  • Non-linear pricing theory and backward stochastic differential equations

    Karoui, N. (et al.)

    Pages 191-246

  • Market imperfections, equilibrium and arbitrage

    Jouini, Elyès

    Pages 247-307

Buy this book

eBook $54.99
price for USA (gross)
  • ISBN 978-3-540-68356-8
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $74.95
price for USA
  • ISBN 978-3-540-62642-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Financial Mathematics
Book Subtitle
Lectures given at the 3rd Session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in Bressanone, Italy, July 8-13, 1996
Authors
Editors
  • Wolfgang J. Runggaldier
Series Title
C.I.M.E. Foundation Subseries
Series Volume
1656
Copyright
1997
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-68356-8
DOI
10.1007/BFb0091997
Softcover ISBN
978-3-540-62642-8
Edition Number
1
Number of Pages
VII, 316
Topics