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TitleParis-Princeton Lectures on Mathematical Finance 2002 [electronic resource]
ImprintBerlin, Heidelberg : Springer Berlin Heidelberg, 2003
Connect tohttp://dx.doi.org/10.1007/b12041
Descript X, 178 p. online resource

SUMMARY

The Paris-Princeton Lectures in Financial Mathematics, of which this is the first volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The aim is to produce a series of articles that can serve as an introductory reference for research in the field. It arises as a result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with articles by P. Bank/H. Fรถllmer, F. Baudoin, L.C.G. Rogers, and M. Soner/N. Touzi


CONTENT

M.H. Soner, N. Touzi: The Problem of Super-replication under Constraints -- F. Baudoin: Modelling Anticipations on Financial Markets -- L.C.G. Rogers: Duality in Constrained Optimal Investment and Consumption problems: A Synthesis -- P. Bank, H. Fรถllmer: American Options, Multi-armed Bandits, and Optimal Consumption Plans: A Unifying View


Mathematics Game theory Economics Mathematical Probabilities Mathematics Quantitative Finance Game Theory Economics Social and Behav. Sciences Probability Theory and Stochastic Processes



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