Financial Mathematics [electronic resource] : Lectures given at the 3rd Session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in Bressanone, Italy, July 8–13, 1996 / by Bruno Biais, Thomas Björk, Jakša Cvitanić, Nicole Karoui, Elyés Jouini, Jean Charles Rochet ; edited by Wolfgang J. Runggaldier.

By: Biais, Bruno [author.]Contributor(s): Björk, Thomas [author.] | Cvitanić, Jakša [author.] | Karoui, Nicole [author.] | Jouini, Elyés [author.] | Rochet, Jean Charles [author.] | Runggaldier, Wolfgang J [editor.] | SpringerLink (Online service)Material type: TextTextSeries: Lecture Notes in Mathematics ; 1656Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 1997Description: VII, 316 p. online resourceContent type: text Media type: computer Carrier type: online resourceISBN: 9783540683568Subject(s): Mathematics | Functional analysis | Differential equations, partial | Finance | Distribution (Probability theory) | Banks and banking | Mathematics | Quantitative Finance | Probability Theory and Stochastic Processes | Partial Differential Equations | Functional Analysis | Finance /BankingAdditional physical formats: Printed edition:: No titleDDC classification: 519 LOC classification: HB135-147Online resources: Click here to access online
Contents:
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.
In: Springer eBooksSummary: 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.
Item type: E-BOOKS
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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.

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.

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