Aspects of Mathematical Finance

  • Marc Yor

Table of contents

  1. Front Matter
    Pages i-viii
  2. Pauline Barrieu, Nicole el Karoui
    Pages 23-35
  3. Hèlyette Geman
    Pages 37-52
  4. Damien Lamberton
    Pages 53-61
  5. Emmanuel Gobet, Gilles Pagès, Marc Yor
    Pages 63-76
  6. Back Matter
    Pages 77-80

About this book


Considering the stupendous gain in importance, in the banking and insurance industries since the early 1990’s, of mathematical methodology, especially probabilistic methodology, it was a very natural idea for the French "Académie des Sciences" to propose a series of public lectures, accessible to an educated audience, to promote a wider understanding for some of the fundamental ideas, techniques and new tools of the financial industries.

These lectures were given at the "Académie des Sciences" in Paris by internationally renowned experts in mathematical finance, and later written up for this volume which develops, in simple yet rigorous terms, some challenging topics such as risk measures, the notion of arbitrage, dynamic models involving fundamental stochastic processes like Brownian motion and Lévy processes.

The Ariadne’s thread leads the reader from Louis Bachelier’s thesis 1900 to the famous Black-Scholes formula of 1973 and to most recent work close to Malliavin’s stochastic calculus of variations. The book also features a description of the trainings of French financial analysts which will help them to become experts in these fast evolving mathematical techniques.

The authors are: P. Barrieu, N. El Karoui, H. Föllmer, H. Geman, E. Gobet, G. Pagès, W. Schachermayer and M. Yor.


Black-Scholes formula Mathematical Finance Stochastic Processes Stochastic calculus arbitrag calculus heat equation hedging linear optimization options risk measures

Editors and affiliations

  • Marc Yor
    • 1
  1. 1.Laboratoire de Probabilités et Modèles AléatoiresUniversité Pierre et Marie CurieFrance

Bibliographic information