Paris-Princeton Lectures on Mathematical Finance 2013, 2013 Editors: Vicky Henderson, Ronnie Sircar Lecture Notes in Mathematics Series, Vol. 2081
Auteurs : Benth Fred Espen, Crisan Dan, Guasoni Paolo, Manolarakis Konstantinos, Muhle-Karbe Johannes, Nee Colm, Protter Philip
The current volume presents four chapters touching on some of the most important and modern areas of research in Mathematical Finance: asset price bubbles (by Philip Protter); energy markets (by Fred Espen Benth); investment under transaction costs (by Paolo Guasoni and Johannes Muhle-Karbe); and numerical methods for solving stochastic equations (by Dan Crisan, K. Manolarakis and C. Nee).The Paris-Princeton Lecture Notes on Mathematical Finance, of which this is the fifth volume, publish cutting-edge research in self-contained, expository articles from renowned specialists. The aim is to produce a series of articles that can serve as an introductory reference source for research in the field.
Preface: Vicky Henderson & Ronnie Sircar.- Philip Protter: A Mathematical Theory of FinancialBubbles.- Fred Espen Benth: Stochastic Volatility and Dependency in Energy Markets – Multi-Factor Modelling.- Paolo Guasoni: Portfolio Choice with Transaction Costs: a User's Guide.- Dan Crisan: Cubature Methods and Applications.
Presents cutting-edge research in Mathematical Finance
Includes supplementary material: sn.pub/extras
Date de parution : 07-2013
Ouvrage de 316 p.
15.5x23.5 cm
Thème de Paris-Princeton Lectures on Mathematical Finance 2013 :
Mots-clés :
91B28, 91B70, 60G49, 49J55, 60H07, 90C46, Applied Mathematics, Mathematical Finance, Stochastic Analysis, quantitative finance