Paris-Princeton Lectures on Mathematical Finance 2003

ISBN-13: 9783540222668 / Angielski / Miękka / 2004 / 254 str.

Tomasz R. Bielecki; Tomas Bjvrk; Monique Jeanblanc

Opis

The Paris-Princeton Lectures in Financial Mathematics, of which this is the second 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. This volume presents the following articles: "Hedging of Defaultable Claims" by T. Bielecki, M. Jeanblanc, and M. Rutkowski; "On the Geometry of Interest Rate Models" by T. Bjork; "Heterogeneous Beliefs, Speculation and Trading in Financial Markets" by J.A. Scheinkman, and W. Xiong.

Spis treści

T. Bielecki, M. Jeanblanc, Marek Rutkowski: Hedging of Defaultable Claims.- T. Björk: On the Geometry of Interest Rate Models.- J.A. Scheinkman, W. Xiong: Heterogeneous Beliefs, Speculation and Trading in Financial Markets.

O autorze

Tomas Björk is Professor of Mathematical Finance at the Stockholm School of Economics. His background is in probability theory and he was formerly at the Mathematics Department of the Royal Institute of Technology in Stockholm. He has published numerous journal articles on mathematical finance in general, and in particular on interest rate theory.