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AuthorBiais, Bruno. author
TitleFinancial 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
ImprintBerlin, Heidelberg : Springer Berlin Heidelberg, 1997
Connect tohttp://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



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