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  • © 2003

Paris-Princeton Lectures on Mathematical Finance 2002

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

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Table of contents (4 chapters)

  1. Front Matter

    Pages N2-X
  2. Modeling Anticipations on Financial Markets

    • Fabrice Baudoin
    Pages 43-94
  3. The Problem of Super-replication under Constraints

    • H. Mete Soner, Nizar Touzi
    Pages 133-172
  4. Back Matter

    Pages 173-175

About this book

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
  • quantitative finance

Bibliographic Information

Buy it now

Buying options

eBook USD 34.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 49.95
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access