Paris-Princeton Lectures on Mathematical Finance 2002

  • Authors
  • Peter Bank
  • Hans Föllmer
  • Fabrice Baudoin
  • L.C.G. Rogers
  • H. Mete Soner
  • Nizar Touzi

Part of the Lecture Notes in Mathematics book series (LNM, volume 1814)

Table of contents

  1. Front Matter
    Pages N2-X
  2. Fabrice Baudoin
    Pages 43-94
  3. H. Mete Soner, Nizar Touzi
    Pages 133-172
  4. Back Matter
    Pages 173-175

About this book

Introduction

The Paris-Princeton Lectures in Financial Mathematics, of which this is the first volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The aim is to produce a series of articles that can serve as an introductory reference for research in the field. It arises as a result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with articles by P. Bank/H. Föllmer, F. Baudoin, L.C.G. Rogers, and M. Soner/N. Touzi.

Keywords

American options consumption duality dynamic programming mathematical finance mathematics modeling modeling financial markets sets super-replication

Bibliographic information

  • DOI https://doi.org/10.1007/b12041
  • Copyright Information Springer-Verlag Berlin Heidelberg 2003
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-40193-3
  • Online ISBN 978-3-540-44859-4
  • Series Print ISSN 0075-8434
  • Series Online ISSN 1617-9692
  • About this book