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Record Nr. |
UNINA9910146286203321 |
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Autore |
Biais B (Bruno) |
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Titolo |
Financial Mathematics : Lectures given at the 3rd Session of the Centro Internazionale Matematico Estivo (C.I.M.E.) held in Bressanone, Italy, July 8-13, 1996 / / by Bruno Biais, Thomas Björk, Jakša Cvitanic, Nicole El Karoui, Elyes Jouini, J.C. Rochet ; edited by Wolfgang J. Runggaldier |
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Pubbl/distr/stampa |
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Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1997 |
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ISBN |
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Edizione |
[1st ed. 1997.] |
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Descrizione fisica |
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1 online resource (VII, 316 p.) |
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Collana |
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C.I.M.E. Foundation Subseries, , 2946-1820 ; ; 1656 |
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Disciplina |
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Soggetti |
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Probabilities |
Finance, Public |
Business mathematics |
Social sciences - Mathematics |
Differential equations |
Functional analysis |
Probability Theory |
Public Economics |
Business Mathematics |
Mathematics in Business, Economics and Finance |
Differential Equations |
Functional Analysis |
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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 bibliographical references. |
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Nota di contenuto |
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Risk sharing, adverse selection and market structure -- Interest rate theory -- Optimal trading under constraints -- Non-linear pricing theory and backward stochastic differential equations -- Market imperfections, equilibrium and arbitrage. |
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Sommario/riassunto |
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Financial Mathematics is an exciting, emerging field of application. The five sets of course notes in this book provide a bird's eye view of the current "state of the art" and directions of research. For graduate students it will therefore serve as an introduction to the field while |
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reseachers will find it a compact source of reference. The reader is expected to have a good knowledge of the basic mathematical tools corresponding to an introductory graduate level, and sufficient familiarity with probabilistic methods, in particular stochastic analysis. B. Biais, J.C. Rochet: Risk-sharing, adverse selection and market structure.- T. Björk: Interest-rate theory.- J. Cvitanic: Optimal trading under constraints.- N. El Karoui, M.C. Quenez: Nonlinear pricing theory and backward stochastic differential equations.- E. Jouini: Market imperfections, equilibrium and arbitrage. |
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