Peter Bank, Fabrice Baudoin, Hans Föllmer

Paris-Princeton Lectures on Mathematical Finance 2002

Ed. by Carmona, Rene A.; Çinlar, Erhan; Ekeland, Ivar et al.
Herausgegeben:Carmona, René; Çinlar, Erhan; Ekeland, Ivar; Jouini, Elyès; Scheinkman, Jose A.; Touzi, Nizar

• Broschiertes Buch

Produktbeschreibung

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. Föllmer, F. Baudoin, L.C.G. Rogers, and M. Soner/N. Touzi.

Produktdetails

• Lecture Notes in Mathematics 1814
• Verlag: Springer / Springer Berlin Heidelberg / Springer, Berlin
• Artikelnr. des Verlages: 978-3-540-40193-3
• Seitenzahl: 178
• Englisch
• Abmessung: 235mm x 156mm x 12mm
• Gewicht: 314g
• ISBN-13: 9783540401933
• ISBN-10: 3540401938
• Artikelnr.: 12229620

Autorenporträt

Peter Bank, Humboldt University, Berlin, Germany / Fabrice Baudoin, Vienna University of Technology, Vienna, Austria / Hans Foellmer, Humboldt University, Berlin, Germany / L.C.G. Rogers, Cambridge University, UK / Halil Mete Soner, Koc University, Istanbul, Turkey / Nizar Touzi, CREST, Malakoff, France

Inhaltsangabe

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. Föllmer: American Options, Multi-armed Bandits, and Optimal Consumption Plans: A Unifying View.