Paris-Princeton Lectures on Mathematical Finance 2013

Editors: Vicky Henderson, Ronnie Sircar

  • Fred Espen Benth
  • Dan Crisan
  • Paolo Guasoni
  • Konstantinos Manolarakis
  • Johannes Muhle-Karbe
  • Colm Nee
  • Philip Protter

Part of the Lecture Notes in Mathematics book series (LNM, volume 2081)

Table of contents

  1. Front Matter
    Pages i-ix
  2. Philip Protter
    Pages 1-108
  3. Paolo Guasoni, Johannes Muhle-Karbe
    Pages 169-201
  4. D. Crisan, K. Manolarakis, C. Nee
    Pages 203-316
  5. Back Matter
    Pages 317-318

About this book


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.


91B28, 91B70, 60G49, 49J55, 60H07, 90C46 Applied Mathematics Mathematical Finance Stochastic Analysis

Authors and affiliations

  • Fred Espen Benth
    • 1
  • Dan Crisan
    • 2
  • Paolo Guasoni
    • 3
  • Konstantinos Manolarakis
    • 4
  • Johannes Muhle-Karbe
    • 5
  • Colm Nee
    • 6
  • Philip Protter
    • 7
  1. 1.Department of MathematicsUniversity of OsloOsloNorway
  2. 2.Imperial College London Department of MathematicsLondonUnited Kingdom
  3. 3.School of Mathematical SciencesDublin City UniversityDublin 9Ireland
  4. 4.Imperial College London Dept of MathematicsLondonUnited Kingdom
  5. 5.ETH Zurich Department of MathematicsZurichSwitzerland
  6. 6.Imperial College London Dept of MathematicsLondonUnited Kingdom
  7. 7.Columbia University Department of StatisticsNew YorkUSA

Bibliographic information