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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

  • Book
  • © 1997

Overview

Authors:
  1. Bruno Biais
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  2. Thomas Björk
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  3. Jakša Cvitanić
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  4. Nicole Karoui
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  5. Elyés Jouini
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  6. Jean Charles Rochet
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Editors:
  1. Wolfgang J. Runggaldier
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Part of the book series: Lecture Notes in Mathematics (LNM, volume 1656)

Part of the book sub series: C.I.M.E. Foundation Subseries (LNMCIME)

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Table of contents (5 chapters)

  1. Front Matter

    Pages I-VII
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  2. Risk sharing, adverse selection and market structure

    • Bruno Biais, Jean Charles Rochet
    Pages 1-51

  3. Interest rate theory

    • Tomas Björk
    Pages 53-122

  4. Optimal trading under constraints

    • Jakša Cvitanić
    Pages 123-190

  5. Non-linear pricing theory and backward stochastic differential equations

    • Karoui N., Quenez M.C.
    Pages 191-246

  6. Market imperfections, equilibrium and arbitrage

    • Elyès Jouini
    Pages 247-307

  7. Back Matter

    Pages 309-316
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Keywords

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.

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