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Record Nr. |
UNINA9910144602003321 |
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Autore |
Bank Peter |
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Titolo |
Paris-Princeton Lectures on Mathematical Finance 2002 / / by Peter Bank, Fabrice Baudoin, Hans Föllmer, L. C. G. Rogers, Halil Mete Soner, Nizar Touzi ; edited by René Carmona, Erhan Çınlar, Ivar Ekeland, Elyès Jouini, Jose A. Scheinkman, Nizar Touzi |
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Pubbl/distr/stampa |
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Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2003 |
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ISBN |
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Edizione |
[1st ed. 2003.] |
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Descrizione fisica |
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1 online resource (X, 178 p.) |
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Collana |
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Lecture Notes in Mathematics, , 0075-8434 ; ; 1814 |
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Classificazione |
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Disciplina |
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Soggetti |
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Economics, Mathematical |
Game theory |
Probabilities |
Quantitative Finance |
Game Theory, Economics, Social and Behav. Sciences |
Probability Theory and Stochastic Processes |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Bibliographic Level Mode of Issuance: Monograph |
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Nota di bibliografia |
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Includes bibliographica references. |
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Nota di contenuto |
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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. |
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Sommario/riassunto |
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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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