Author | Biais, Bruno. author |
---|---|

Title | Financial Mathematics [electronic resource] : Lectures given at the 3rd Session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in Bressanone, Italy, July 8-13, 1996 / by Bruno Biais, Thomas Bjรถrk, Jakลกa Cvitaniฤ{135}, Nicole El Karoui, Elyรฉs Jouini, Jean Charles Rochet ; edited by Wolfgang J. Runggaldier |

Imprint | Berlin, Heidelberg : Springer Berlin Heidelberg, 1997 |

Connect to | http://dx.doi.org/10.1007/BFb0091997 |

Descript | VII, 316 p. online resource |

SUMMARY

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. B. Biais, J.C. Rochet: Risk-sharing, adverse selection and market structure.- T. Bjรถrk: Interest-rate theory.- J. Cvitanic: Optimal trading under constraints.- N. El Karoui, M.C. Quenez: Nonlinear pricing theory and backward stochastic differential equations.- E. Jouini: Market imperfections, equilibrium and arbitrage

CONTENT

Risk sharing, adverse selection and market structure -- Interest rate theory -- Optimal trading under constraints -- Non-linear pricing theory and backward stochastic differential equations -- Market imperfections, equilibrium and arbitrage

Mathematics
Business mathematics
Functional analysis
Partial differential equations
Economics Mathematical
Probabilities
Public finance
Mathematics
Probability Theory and Stochastic Processes
Public Economics
Business Mathematics
Quantitative Finance
Partial Differential Equations
Functional Analysis