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Paris-Princeton Lectures on Mathematical Finance 2013

Editors: Vicky Henderson, Ronnie Sircar

  • Book
  • © 2013

Overview

Authors:
  1. Fred Espen Benth

    1. Department of Mathematics, University of Oslo, Oslo, Norway

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  2. Dan Crisan

    1. Imperial College London Department of Mathematics, London, United Kingdom

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  3. Paolo Guasoni

    1. School of Mathematical Sciences, Dublin City University, Dublin 9, Ireland

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  4. Konstantinos Manolarakis

    1. Imperial College London Dept of Mathematics, London, United Kingdom

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  5. Johannes Muhle-Karbe

    1. ETH Zurich Department of Mathematics, Zurich, Switzerland

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  6. Colm Nee

    1. Imperial College London Dept of Mathematics, London, United Kingdom

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  7. Philip Protter

    1. Columbia University Department of Statistics, New York, USA

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  • Presents cutting-edge research in Mathematical Finance
  • Includes supplementary material: sn.pub/extras

Part of the book series: Lecture Notes in Mathematics (LNM, volume 2081)

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Table of contents (4 chapters)

  1. Front Matter

    Pages i-ix
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  2. A Mathematical Theory of Financial Bubbles

    • Philip Protter
    Pages 1-108

  3. Stochastic Volatility and Dependency in Energy Markets: Multi-Factor Modelling

    • Fred Espen Benth
    Pages 109-167

  4. Portfolio Choice with Transaction Costs: A User’s Guide

    • Paolo Guasoni, Johannes Muhle-Karbe
    Pages 169-201

  5. Cubature Methods and Applications

    • D. Crisan, K. Manolarakis, C. Nee
    Pages 203-316

  6. Back Matter

    Pages 317-318
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Keywords

About this book

The current volume presents four chapters touching on some of the most important and modern areas of research in Mathematical Finance: asset price bubbles (by Philip Protter); energy markets (by Fred Espen Benth); investment under transaction costs (by Paolo Guasoni and Johannes Muhle-Karbe); and numerical methods for solving stochastic equations (by Dan Crisan, K. Manolarakis and C. Nee).The Paris-Princeton Lecture Notes on Mathematical Finance, of which this is the fifth volume, publish cutting-edge research in self-contained, expository articles from renowned specialists. The aim is to produce a series of articles that can serve as an introductory reference source for research in the field.

Authors and Affiliations

  • Department of Mathematics, University of Oslo, Oslo, Norway

    Fred Espen Benth

  • Imperial College London Department of Mathematics, London, United Kingdom

    Dan Crisan

  • School of Mathematical Sciences, Dublin City University, Dublin 9, Ireland

    Paolo Guasoni

  • Imperial College London Dept of Mathematics, London, United Kingdom

    Konstantinos Manolarakis, Colm Nee

  • ETH Zurich Department of Mathematics, Zurich, Switzerland

    Johannes Muhle-Karbe

  • Columbia University Department of Statistics, New York, USA

    Philip Protter

Bibliographic Information

  • Book Title: Paris-Princeton Lectures on Mathematical Finance 2013

  • Book Subtitle: Editors: Vicky Henderson, Ronnie Sircar

  • Authors: Fred Espen Benth, Dan Crisan, Paolo Guasoni, Konstantinos Manolarakis, Johannes Muhle-Karbe, Colm Nee, Philip Protter

  • Series Title: Lecture Notes in Mathematics

  • DOI: https://doi.org/10.1007/978-3-319-00413-6

  • Publisher: Springer Cham

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

  • Copyright Information: Springer International Publishing Switzerland 2013

  • Softcover ISBN: 978-3-319-00412-9Published: 24 July 2013

  • eBook ISBN: 978-3-319-00413-6Published: 11 July 2013

  • Series ISSN: 0075-8434

  • Series E-ISSN: 1617-9692

  • Edition Number: 1

  • Number of Pages: IX, 316

  • Number of Illustrations: 6 b/w illustrations, 34 illustrations in colour

  • Topics: Quantitative Finance, Organizational Studies, Economic Sociology

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