Paris-Princeton lectures on mathematical finance 2004

著者

• Carmona, René
• Ekeland, Ivar
• Kohatsu-Higa, Arturo
• Lasry, Jean-Michel
• Lions, P. L. (Pierre-Louis)
• Pham, Huyên
• Taflin, Erik

書誌事項

Paris-Princeton lectures on mathematical finance 2004

René A. Carmona ... [et al.] ; editorial committee: R.A. Carmona ... [et al.]

（Lecture notes in mathematics, 1919）

Springer, c2007

注記

Other authors: Ivar Ekeland, Arturo Kohatsu-Higa, Jean-Michel Lasry, Pierre-Louis Lions, Huyên Pham, Erik Taflin

Other editors: E. Çinlar, I. Ekeland, E. Jouini, J.A. Scheinkman, N. Touzi

Includes bibliographical references

内容説明・目次

内容説明

This is the third volume in the Paris-Princeton Lectures in Financial Mathematics, which publishes, on an annual basis, cutting-edge research in self-contained, expository articles from outstanding specialists, both established and upcoming. Coverage includes articles by Rene Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, Pierre-Louis Lions/Jean-Michel Lasry, and Huyen Pham.

目次

HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets.- Optimal Bond Portfolios.- Models for Insider Trading with Finite Utility.- Large Investor Trading Impacts on Volatility.- Some Applications and Methods of Large Deviations in Finance and Insurance.

「Nielsen BookData」 より

• NII書誌ID(NCID): BA83375365
• ISBN:
  • 9783540733263
• LCCN: 2007930225
• 出版国コード: gw
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Berlin
• ページ数/冊数: x, 244 p.
• 大きさ: 24 cm
• 分類:
  • LCC : QA3
• 件名:
  • LCSH : Business mathematics -- Congresses
• 親書誌ID:
  • BA00146586
• リンク:
  • dx.doi.org/10.1007/978-3-540-73327-0