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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| Autore: |
Biais B (Bruno)
|
| 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
|
| Pubblicazione: | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1997 |
| Edizione: | 1st ed. 1997. |
| Descrizione fisica: | 1 online resource (VII, 316 p.) |
| Disciplina: | 650.01513 |
| Soggetto topico: | 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 | |
| Persona (resp. second.): | RunggaldierW. J (Wolfgang J.) |
| Note generali: | Bibliographic Level Mode of Issuance: Monograph |
| Nota di bibliografia: | Includes bibliographical references. |
| Nota di contenuto: | 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. |
| Sommario/riassunto: | 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 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. |
| Titolo autorizzato: | Financial mathematics |
| ISBN: | 3-540-68356-9 |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910146286203321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
C.I.M.E. Foundation Subseries, . 2946-1820 ; ; 1656