Skip to main content
  • Book
  • © 1997

Financial Mathematics

Lectures given at the 3rd Session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in Bressanone, Italy, July 8-13, 1996

Part of the book series: Lecture Notes in Mathematics (LNM, volume 1656)

Part of the book sub series: C.I.M.E. Foundation Subseries (LNMCIME)

Buying options

eBook USD 54.99
Price excludes VAT (Canada)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 74.95
Price excludes VAT (Canada)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

This is a preview of subscription content, access via your institution.

Table of contents (5 chapters)

  1. Front Matter

    Pages I-VII
  2. Risk sharing, adverse selection and market structure

    • Bruno Biais, Jean Charles Rochet
    Pages 1-51
  3. Interest rate theory

    • Tomas Björk
    Pages 53-122
  4. Optimal trading under constraints

    • Jakša Cvitanić
    Pages 123-190
  5. Back Matter

    Pages 309-316

About this book

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.

Keywords

  • Arbitrage
  • Market microstructure
  • Stochastic Differential Equations
  • Trading under constraints
  • market imperfections
  • sets
  • theory
  • quantitative finance
  • partial differential equations

Bibliographic Information

Buying options

eBook USD 54.99
Price excludes VAT (Canada)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 74.95
Price excludes VAT (Canada)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions