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  • © 2008

Aspects of Mathematical Finance

Editors:

  • This collection of essays written by leading experts in the field of finance mathematics is based on lectures held on 1st February 2005 at the French Academy of Science

  • Includes supplementary material: sn.pub/extras

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Table of contents (7 chapters)

  1. Front Matter

    Pages i-viii
  2. Dynamic Financial Risk Management

    • Pauline Barrieu, Nicole el Karoui
    Pages 23-35
  3. Stochastic Clock and Financial Markets

    • Hèlyette Geman
    Pages 37-52
  4. Options and Partial Differential Equations

    • Damien Lamberton
    Pages 53-61
  5. Mathematics and Finance

    • Emmanuel Gobet, Gilles Pagès, Marc Yor
    Pages 63-76
  6. Back Matter

    Pages 77-80

About this book

Considering the stupendous gain in importance, in the banking and insurance industries since the early 1990’s, of mathematical methodology, especially probabilistic methodology, it was a very natural idea for the French "Académie des Sciences" to propose a series of public lectures, accessible to an educated audience, to promote a wider understanding for some of the fundamental ideas, techniques and new tools of the financial industries.

These lectures were given at the "Académie des Sciences" in Paris by internationally renowned experts in mathematical finance, and later written up for this volume which develops, in simple yet rigorous terms, some challenging topics such as risk measures, the notion of arbitrage, dynamic models involving fundamental stochastic processes like Brownian motion and Lévy processes.

The Ariadne’s thread leads the reader from Louis Bachelier’s thesis 1900 to the famous Black-Scholes formula of 1973 and to most recent work close to Malliavin’s stochastic calculus of variations. The book also features a description of the trainings of French financial analysts which will help them to become experts in these fast evolving mathematical techniques.

Editors and Affiliations

  • Laboratoire de Probabilités et Modèles Aléatoires, Université Pierre et Marie Curie, France

    Marc Yor

Bibliographic Information

  • Book Title: Aspects of Mathematical Finance

  • Editors: Marc Yor

  • DOI: https://doi.org/10.1007/978-3-540-75265-3

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)

  • Copyright Information: Springer-Verlag Berlin Heidelberg 2008

  • Hardcover ISBN: 978-3-540-75258-5Published: 25 February 2008

  • Softcover ISBN: 978-3-642-09452-1Published: 19 October 2010

  • eBook ISBN: 978-3-540-75265-3Published: 13 February 2008

  • Edition Number: 1

  • Number of Pages: VIII, 80

  • Additional Information: Orignial French edition published by Lavoisier, Paris 2006

  • Topics: Quantitative Finance, Public Economics

Buy it now

Buying options

eBook USD 39.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 49.95
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book USD 49.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access