Paris Princeton Lectures On Mathematical Finance 2010

Author : Areski Cousin,Stéphane Crépey,Olivier Guéant,David Hobson,Monique Jeanblanc,Jean-Michel Lasry,Jean-Paul Laurent,Pierre-Louis Lions,Peter Tankov
Publisher : Springer Science & Business Media
Page : 374 pages
File Size : 44,8 Mb
Release : 2011-06-29
Category : Mathematics
ISBN : 9783642146596

Get Book

Paris-Princeton Lectures on Mathematical Finance 2010 by Areski Cousin,Stéphane Crépey,Olivier Guéant,David Hobson,Monique Jeanblanc,Jean-Michel Lasry,Jean-Paul Laurent,Pierre-Louis Lions,Peter Tankov Pdf

The Paris-Princeton Lectures in Financial Mathematics, of which this is the fourth volume, publish cutting-edge research in self-contained, expository articles from outstanding specialists - established or on the rise! The aim is to produce a series of articles that can serve as an introductory reference source for research in the field. The articles are the result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with five articles by: 1. Areski Cousin, Monique Jeanblanc and Jean-Paul Laurent, 2. Stéphane Crépey, 3. Olivier Guéant, Jean-Michel Lasry and Pierre-Louis Lions, 4. David Hobson and 5. Peter Tankov.

Author : Peter Bank,Fabrice Baudoin,Hans Föllmer,L. C. G. Rogers,Halil Mete Soner,Nizar Touzi
Publisher : Springer
Page : 178 pages
File Size : 52,5 Mb
Release : 2003-12-15
Category : Mathematics
ISBN : 9783540448594

Get Book

Paris-Princeton Lectures on Mathematical Finance 2002 by Peter Bank,Fabrice Baudoin,Hans Föllmer,L. C. G. Rogers,Halil Mete Soner,Nizar Touzi Pdf

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

Author : Tomasz R. Bielecki,Tomas Björk,Monique Jeanblanc,Marek Rutkowski,Jose A. Scheinkman,Wei Xiong
Publisher : Springer
Page : 254 pages
File Size : 40,9 Mb
Release : 2004-08-30
Category : Mathematics
ISBN : 9783540444688

Get Book

Paris-Princeton Lectures on Mathematical Finance 2003 by Tomasz R. Bielecki,Tomas Björk,Monique Jeanblanc,Marek Rutkowski,Jose A. Scheinkman,Wei Xiong Pdf

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. Björk; "Heterogeneous Beliefs, Speculation and Trading in Financial Markets" by J.A. Scheinkman, and W. Xiong.

Author : René Carmona,Ivar Ekeland,Jean-Michel Lasry,Pierre-Louis Lions,Huyên Pham,Erik Taflin
Publisher : Springer
Page : 248 pages
File Size : 52,5 Mb
Release : 2007-08-10
Category : Mathematics
ISBN : 9783540733270

Get Book

Paris-Princeton Lectures on Mathematical Finance 2004 by René Carmona,Ivar Ekeland,Jean-Michel Lasry,Pierre-Louis Lions,Huyên Pham,Erik Taflin Pdf

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 René Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, Pierre-Louis Lions/Jean-Michel Lasry, and Huyên Pham.

Author : Peter Bank,Fabrice Baudoin,Hans Föllmer,L. C. G. Rogers,Halil Mete Soner,Nizar Touzi
Publisher : Springer
Page : 178 pages
File Size : 55,9 Mb
Release : 2003-08-11
Category : Mathematics
ISBN : 3540401938

Get Book

Paris-Princeton Lectures on Mathematical Finance 2002 by Peter Bank,Fabrice Baudoin,Hans Föllmer,L. C. G. Rogers,Halil Mete Soner,Nizar Touzi Pdf

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

Author : Peter Bank,Fabrice Baudoin,Hans Föllmer,L. C. G. Rogers,Halil Mete Soner,Nizar Touzi
Publisher : Springer
Page : 0 pages
File Size : 41,6 Mb
Release : 2003-12-15
Category : Mathematics
ISBN : 3540448594

Get Book

Paris-Princeton Lectures on Mathematical Finance 2002 by Peter Bank,Fabrice Baudoin,Hans Föllmer,L. C. G. Rogers,Halil Mete Soner,Nizar Touzi Pdf

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

Author : René Carmona,Ivar Ekeland,Jean-Michel Lasry,Pierre-Louis Lions,Huyên Pham,Erik Taflin
Publisher : Springer
Page : 248 pages
File Size : 48,5 Mb
Release : 2007-10-01
Category : Mathematics
ISBN : 3540733264

Get Book

Paris-Princeton Lectures on Mathematical Finance 2004 by René Carmona,Ivar Ekeland,Jean-Michel Lasry,Pierre-Louis Lions,Huyên Pham,Erik Taflin Pdf

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 René Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, Pierre-Louis Lions/Jean-Michel Lasry, and Huyên Pham.

Author : Fred Espen Benth,Dan Crisan,Paolo Guasoni,Konstantinos Manolarakis,Johannes Muhle-Karbe,Colm Nee,Philip Protter
Publisher : Springer
Page : 316 pages
File Size : 50,7 Mb
Release : 2013-07-11
Category : Mathematics
ISBN : 9783319004136

Get Book

Paris-Princeton Lectures on Mathematical Finance 2013 by Fred Espen Benth,Dan Crisan,Paolo Guasoni,Konstantinos Manolarakis,Johannes Muhle-Karbe,Colm Nee,Philip Protter Pdf

The current volume presents four chapters touching on some of the most important and modern areas of research in Mathematical Finance: asset price bubbles (by Philip Protter); energy markets (by Fred Espen Benth); investment under transaction costs (by Paolo Guasoni and Johannes Muhle-Karbe); and numerical methods for solving stochastic equations (by Dan Crisan, K. Manolarakis and C. Nee).The Paris-Princeton Lecture Notes on Mathematical Finance, of which this is the fifth volume, publish cutting-edge research in self-contained, expository articles from renowned specialists. The aim is to produce a series of articles that can serve as an introductory reference source for research in the field.

Author : Anonim
Publisher : Unknown
Page : 270 pages
File Size : 40,9 Mb
Release : 2004
Category : Business mathematics
ISBN : UOM:39015072643946

Get Book

Paris-Princeton Lectures on Mathematical Finance ... by Anonim Pdf

Author : René Carmona,Ivar Ekeland,Jean-Michel Lasry,Pierre-Louis Lions,Huyên Pham,Erik Taflin
Publisher : Springer
Page : 248 pages
File Size : 50,5 Mb
Release : 2007-10-01
Category : Mathematics
ISBN : 3540733264

Get Book

Paris-Princeton Lectures on Mathematical Finance 2004 by René Carmona,Ivar Ekeland,Jean-Michel Lasry,Pierre-Louis Lions,Huyên Pham,Erik Taflin Pdf

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 René Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, Pierre-Louis Lions/Jean-Michel Lasry, and Huyên Pham.

Author : Masaaki Kijima,Chiaki Hara,Yukio Muromachi,Hidetaka Nakaoka,Katsumasa Nishide
Publisher : World Scientific
Page : 260 pages
File Size : 40,7 Mb
Release : 2011-06-17
Category : Mathematics
ISBN : 9789814458245

Get Book

Recent Advances in Financial Engineering 2010 by Masaaki Kijima,Chiaki Hara,Yukio Muromachi,Hidetaka Nakaoka,Katsumasa Nishide Pdf

This book contains the proceedings of the KIER-TMU International Workshop on Financial Engineering 2010, which was held in Tokyo, in order to exchange new ideas in financial engineering among industry professionals and researchers from various countries. It has been held for two consecutive years since 2009, as a successor to the Daiwa International Workshop, which was held from 2004 to 2008, and is organized by the Institute of Economic Research of Kyoto University (KIER) and the Graduate School of Social Sciences of Tokyo Metropolitan University (TMU). The workshop serves as a bridge between academic researchers and practitioners. This book consists of eleven papers — all refereed — representing or related to the presentations at the workshop. The papers address state-of-the-art techniques in financial engineering. The Proceedings of the 2009 workshop was also published by World Scientific Publishing. Contents:The Distribution of Returns at Longer Horizons (E Eberlein & D B Madan)Two Examples of an Insider with Medium/Long Term Effects on the Underlying (H Hata & A Kohatsu-Higa)A Note on the Risk Management of CDOs (J-P Laurent)Robust No Arbitrage Condition for Continuous-time Models with Transaction Cost (E Denis)Modeling of Interest-Rate Term Structures under Collateralization and Its Implications (M Fujii & A Takahashi)On the State Variables for Optimal Portfolio Strategies in the Japanese Market (S Kamimura)The Diversity of Information Acquisition Strategies in a Noisy REE Model with a Common Signal and Independent Signals (S Kawanishi)Option Pricing with a Regime-Switching Lévy Model (C C Siu)An Empirical Analysis of Equity Market Expectations in the Financial Turmoil Using Implied Moments and Jump Diffusion Processes (Y Sugihara & N Oda)Investor Characteristics and Portfolio Value (N Takezawa)Optimal Hedging with Additive Models (Y Yamada) Readership: Students, professionals, workshop participants, organizations and societies focused on finance or operations research. Keywords:Operations Research;Financial Engineering;Management;Mathematical Modeling;Credit Risk;Real Options;Optimal Investment;Heterogeneous BeliefsKey Features:Wide coverage of the research themesContains the most updated research resultsNumerous global contributions

Author : Rene Carmona
Publisher : SIAM
Page : 263 pages
File Size : 40,8 Mb
Release : 2016-02-18
Category : Mathematics
ISBN : 9781611974232

Get Book

Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications by Rene Carmona Pdf

The goal of this textbook is to introduce students to the stochastic analysis tools that play an increasing role in the probabilistic approach to optimization problems, including stochastic control and stochastic differential games. While optimal control is taught in many graduate programs in applied mathematics and operations research, the author was intrigued by the lack of coverage of the theory of stochastic differential games. This is the first title in SIAM?s Financial Mathematics book series and is based on the author?s lecture notes. It will be helpful to students who are interested in stochastic differential equations (forward, backward, forward-backward); the probabilistic approach to stochastic control (dynamic programming and the stochastic maximum principle); and mean field games and control of McKean?Vlasov dynamics. The theory is illustrated by applications to models of systemic risk, macroeconomic growth, flocking/schooling, crowd behavior, and predatory trading, among others.

Author : Pierre Bernhard,Jacob C. Engwerda,Berend Roorda,J.M. Schumacher,Vassili Kolokoltsov,Patrick Saint-Pierre,Jean-Pierre Aubin
Publisher : Springer Science & Business Media
Page : 348 pages
File Size : 41,7 Mb
Release : 2012-12-14
Category : Mathematics
ISBN : 9780817683887

Get Book

The Interval Market Model in Mathematical Finance by Pierre Bernhard,Jacob C. Engwerda,Berend Roorda,J.M. Schumacher,Vassili Kolokoltsov,Patrick Saint-Pierre,Jean-Pierre Aubin Pdf

Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance. These theories did away with the standard stochastic geometric diffusion “Samuelson” market model (also known as the Black-Scholes model because it is used in that most famous theory), instead opting for models that allowed minimax approaches to complement or replace stochastic methods. Among the most fruitful models were those utilizing game-theoretic tools and the so-called interval market model. Over time, these models have slowly but steadily gained influence in the financial community, providing a useful alternative to classical methods. A self-contained monograph, The Interval Market Model in Mathematical Finance: Game-Theoretic Methods assembles some of the most important results, old and new, in this area of research. Written by seven of the most prominent pioneers of the interval market model and game-theoretic finance, the work provides a detailed account of several closely related modeling techniques for an array of problems in mathematical economics. The book is divided into five parts, which successively address topics including: · probability-free Black-Scholes theory; · fair-price interval of an option; · representation formulas and fast algorithms for option pricing; · rainbow options; · tychastic approach of mathematical finance based upon viability theory. This book provides a welcome addition to the literature, complementing myriad titles on the market that take a classical approach to mathematical finance. It is a worthwhile resource for researchers in applied mathematics and quantitative finance, and has also been written in a manner accessible to financially-inclined readers with a limited technical background.

Author : Tomasz R. Bielecki,Tomas Björk,Monique Jeanblanc,Marek Rutkowski,Jose A. Scheinkman,Wei Xiong
Publisher : Springer
Page : 254 pages
File Size : 49,8 Mb
Release : 2004-09-09
Category : Mathematics
ISBN : 3540222669

Get Book

Paris-Princeton Lectures on Mathematical Finance 2003 by Tomasz R. Bielecki,Tomas Björk,Monique Jeanblanc,Marek Rutkowski,Jose A. Scheinkman,Wei Xiong Pdf

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. Björk; "Heterogeneous Beliefs, Speculation and Trading in Financial Markets" by J.A. Scheinkman, and W. Xiong.

Author : Diogo A. Gomes,Edgard A. Pimentel,Vardan Voskanyan
Publisher : Springer
Page : 156 pages
File Size : 41,9 Mb
Release : 2016-09-14
Category : Mathematics
ISBN : 9783319389349

Get Book

Regularity Theory for Mean-Field Game Systems by Diogo A. Gomes,Edgard A. Pimentel,Vardan Voskanyan Pdf

Beginning with a concise introduction to the theory of mean-field games (MFGs), this book presents the key elements of the regularity theory for MFGs. It then introduces a series of techniques for well-posedness in the context of mean-field problems, including stationary and time-dependent MFGs, subquadratic and superquadratic MFG formulations, and distinct classes of mean-field couplings. It also explores stationary and time-dependent MFGs through a series of a-priori estimates for solutions of the Hamilton-Jacobi and Fokker-Planck equation. It shows sophisticated a-priori systems derived using a range of analytical techniques, and builds on previous results to explain classical solutions. The final chapter discusses the potential applications, models and natural extensions of MFGs. As MFGs connect common problems in pure mathematics, engineering, economics and data management, this book is a valuable resource for researchers and graduate students in these fields.