Paris-Princeton lectures on mathematical finance 2004

著者

書誌事項

Paris-Princeton lectures on mathematical finance 2004

René A. Carmona ... [et al.] ; editorial committee: R.A. Carmona ... [et al.]

(Lecture notes in mathematics, 1919)

Springer, c2007

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注記

Other authors: Ivar Ekeland, Arturo Kohatsu-Higa, Jean-Michel Lasry, Pierre-Louis Lions, Huyên Pham, Erik Taflin

Other editors: E. Çinlar, I. Ekeland, E. Jouini, J.A. Scheinkman, N. Touzi

Includes bibliographical references

内容説明・目次

内容説明

This is the third volume in the Paris-Princeton Lectures in Financial Mathematics, which publishes, on an annual basis, cutting-edge research in self-contained, expository articles from outstanding specialists, both established and upcoming. Coverage includes articles by Rene Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, Pierre-Louis Lions/Jean-Michel Lasry, and Huyen Pham.

目次

HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets.- Optimal Bond Portfolios.- Models for Insider Trading with Finite Utility.- Large Investor Trading Impacts on Volatility.- Some Applications and Methods of Large Deviations in Finance and Insurance.

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