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

  • Authors
  • Bruno Biais
  • Thomas Björk
  • Jakša Cvitanić
  • Nicole El Karoui
  • Elyés Jouini
  • Jean Charles Rochet
  • Editors
  • Wolfgang J. Runggaldier

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

Table of contents

  1. Front Matter
    Pages I-VII
  2. Bruno Biais, Jean Charles Rochet
    Pages 1-51
  3. Tomas Björk
    Pages 53-122
  4. Jakša Cvitanić
    Pages 123-190
  5. Back Matter
    Pages 309-316

About this book

Introduction

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.

B. Biais, J.C. Rochet: Risk-sharing, adverse selection and market structure.- T. Björk: Interest-rate theory.- J. Cvitanic: Optimal trading under constraints.- N. El Karoui, M.C. Quenez: Nonlinear pricing theory and backward stochastic differential equations.- E. Jouini: Market imperfections, equilibrium and arbitrage.

Keywords

Arbitrage Market microstructure Stochastic Differential Equations Trading under constraints market imperfections sets theory

Bibliographic information

  • DOI https://doi.org/10.1007/BFb0091997
  • Copyright Information Springer-Verlag Berlin Heidelberg 1997
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-62642-8
  • Online ISBN 978-3-540-68356-8
  • Series Print ISSN 0075-8434
  • Series Online ISSN 1617-9692
  • About this book