Lecture Notes in Mathematics

Paris-Princeton Lectures on Mathematical Finance 2010

Authors: Cousin, A., Crépey, S., Guéant, O., Hobson, D., Jeanblanc, M., Lasry, J.-M., Laurent, J.-P., Lions, P.-L., Tankov, P.

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

  • 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
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eBook $44.99
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  • ISBN 978-3-642-14660-2
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Softcover $59.95
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  • ISBN 978-3-642-14659-6
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About this book

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.

Table of contents (5 chapters)

  • Hedging CDO Tranches in a Markovian Environment

    Cousin, Areski (et al.)

    Pages 1-61

  • About the Pricing Equations in Finance

    Crépey, Stéphane

    Pages 63-203

  • Mean Field Games and Applications

    Guéant, Olivier (et al.)

    Pages 205-266

  • The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices

    Hobson, David

    Pages 267-318

  • Pricing and Hedging in Exponential Lévy Models: Review of Recent Results

    Tankov, Peter

    Pages 319-359

Buy this book

eBook $44.99
price for USA (gross)
  • ISBN 978-3-642-14660-2
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $59.95
price for USA
  • ISBN 978-3-642-14659-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Paris-Princeton Lectures on Mathematical Finance 2010
Authors
Editors
  • René Carmona
  • Erhan Çınlar
  • Ivar Ekeland
  • Elyès Jouini
  • Jose A. Scheinkman
  • Nizar Touzi
Series Title
Lecture Notes in Mathematics
Series Volume
2003
Copyright
2011
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-14660-2
DOI
10.1007/978-3-642-14660-2
Softcover ISBN
978-3-642-14659-6
Series ISSN
0075-8434
Edition Number
1
Number of Pages
X, 366
Number of Illustrations and Tables
45 b/w illustrations
Topics