Paris-Princeton Lectures on Mathematical Finance

ISBN-13: 9783540401933 / Angielski / Miękka / 2003 / 188 str.

Peter Bank; Fabrice Baudoin; Hans Fllmer

Opis

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

Spis treści

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.