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

ISBN-13: 9783540626428 / Angielski / Miękka / 1997 / 316 str.

Bruno Biais;Thomas Björk;Jakša Cvitanic

Opis

Financial mathematics is an emerging field of application. The five sets of course notes in this book provide an overview of the current "state of the art" and directions of research. It should be of interest to graduate students and researchers in the field.

Spis treści

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.

O autorze

Jak a Cvitani held positions at Columbia University (Statistics), University of Southern California (Mathematics and Economics), and currently at Caltech (Social Sciences). He has served on the editorial boards of journals in the areas of Financial Mathematics, Applied Probability and Optimization, as well as on the Council of the Bachelier Finance Society.

Blurb

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. Björk: 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.