Lecture Notes in Mathematics

Paris-Princeton Lectures on Mathematical Finance 2004

Authors: Carmona, R., Ekeland, I., Lasry, J.-M., Lions, P.-L., Pham, H., Taflin, E.

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

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eBook $54.99
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  • ISBN 978-3-540-73327-0
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Softcover $69.95
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About this book

The Paris-Princeton Lectures in Financial Mathematics, of which this is the third 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 René Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, Pierre-Louis Lions/Jean-Michel Lasry, and Hyuên Pham.

Table of contents (5 chapters)

  • HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets

    Carmona, René A.

    Pages 1-50

  • Optimal Bond Portfolios

    Ekeland, Ivar (et al.)

    Pages 51-102

  • Models for Insider Trading with Finite Utility

    Kohatsu-Higa, Arturo

    Pages 103-171

  • Large Investor Trading Impacts on Volatility

    Lions, Pierre-Louis (et al.)

    Pages 173-190

  • Some Applications and Methods of Large Deviations in Finance and Insurance

    Pham, Huyên

    Pages 191-244

Buy this book

eBook $54.99
price for USA (gross)
  • ISBN 978-3-540-73327-0
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $69.95
price for USA
  • ISBN 978-3-540-73326-3
  • 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 2004
Authors
Editors
  • René Carmona
  • Erhan Çınlar
  • Ivar Ekeland
  • Elyès Jouini
  • Jose A. Scheinkman
  • Nizar Touzi
Series Title
Lecture Notes in Mathematics
Series Volume
1919
Copyright
2007
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-73327-0
DOI
10.1007/978-3-540-73327-0
Softcover ISBN
978-3-540-73326-3
Series ISSN
0075-8434
Edition Number
1
Number of Pages
X, 248
Topics