Paris-Princeton Lectures on Mathematical Finance 2002 [electronic resource] / by Peter Bank, Hans Föllmer, Fabrice Baudoin, L.C.G. Rogers, H. Mete Soner, Nizar Touzi.
Material type: TextSeries: Lecture Notes in Mathematics ; 1814Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2003Description: X, 178 p. online resourceContent type:- text
- computer
- online resource
- 9783540448594
- 519 23
- HB135-147
M.H. Soner, N. Touzi: The Problem of Super-replication under Constraints -- F. Baudoin: Modelling Anticipations on Financial Markets -- L.C.G. Rogers: Duality in Constrained Optimal Investment and Consumption problems: A Synthesis -- P. Bank, H. Föllmer: American Options, Multi-armed Bandits, and Optimal Consumption Plans: A Unifying View.
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.
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