Financial mathematics : lectures given at the 3rd session of the Centro internazionale matematico estivo (C.I.M.E.) held in Bressanone, Italy, July 8-13, 1996
著者
書誌事項
Financial mathematics : lectures given at the 3rd session of the Centro internazionale matematico estivo (C.I.M.E.) held in Bressanone, Italy, July 8-13, 1996
（Lecture notes in mathematics, 1656 . Fondazione C.I.M.E.,
Springer, c1997
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注記
Includes bibliographical references
Another authors: T. Björk, J. Cvitanić, N. El Karoui, E. Jouini, J.C. Rochet
収録内容
- Risk sharing, adverse selection and market structure / Bruno Biais and Jean Charles Rochet
- Interest rate theory / Tomas Björk
- Optimal trading under constraints / by Jakša Cvitanić
- Non-linear pricing theory and backward stochastic differential equations / El Karoui. N., Quenez. M.C.
- Market imperfections, equilibrium and arbitrage / Elyès Jouini
内容説明・目次
内容説明
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.
目次
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.
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