Paris-Princeton Lectures on Mathematical Finance 2010

  • Areski Cousin
  • Stéphane Crépey
  • Olivier Guéant
  • David Hobson
  • Monique Jeanblanc
  • Jean-Michel Lasry
  • Jean-Paul Laurent
  • Pierre-Louis Lions
  • Peter Tankov

Part of the Lecture Notes in Mathematics book series (LNM, volume 2003)

Table of contents

  1. Front Matter
    Pages i-x
  2. Areski Cousin, Monique Jeanblanc, Jean-Paul Laurent
    Pages 1-61
  3. Stéphane Crépey
    Pages 63-203
  4. Olivier Guéant, Jean-Michel Lasry, Pierre-Louis Lions
    Pages 205-266
  5. Back Matter
    Pages 361-366

About this book

Introduction

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

Keywords

91B28, 91B70, 60G49, 49J55, 60H07, 90C46 CDO tranches in a Markovian environment Mean field games and applications Pricing Equations in Finance The Skorokhod Embedding Problem

Authors and affiliations

  • Areski Cousin
    • 1
  • Stéphane Crépey
    • 2
  • Olivier Guéant
    • 3
  • David Hobson
    • 4
  • Monique Jeanblanc
    • 5
  • Jean-Michel Lasry
    • 6
  • Jean-Paul Laurent
    • 7
  • Pierre-Louis Lions
    • 8
  • Peter Tankov
    • 9
  1. 1.Université de Lyon Université Lyon 1Lyon Cedex 07France
  2. 2.Département de MathématiquesUniversité d’EvryEvryFrance
  3. 3.ParisFrance
  4. 4.Dept of StatisticsUniversity of WarwickCoventryUK
  5. 5.Val d’Essonne Dépt. MathématiquesUniversité d’EvryEvry CedexFrance
  6. 6.Institut de FinanceUniversité Paris-DauphineParis Cedex 16France
  7. 7.1 Panthéon-SorbonneUniversité ParisParisFrance
  8. 8.Collège de FranceParis CX 05France
  9. 9.Centre de Mathématiques AppliquéesEcole PolytechniquePalaiseau CedexFrance

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-14660-2
  • Copyright Information Springer-Verlag Berlin Heidelberg 2011
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-642-14659-6
  • Online ISBN 978-3-642-14660-2
  • Series Print ISSN 0075-8434
  • About this book