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. 1st ed. 1997
- 種類:
- 電子ブック
- 責任表示:
- by Bruno Biais, Thomas Björk, Jakša Cvitanic, Nicole El Karoui, Elyes Jouini, J.C. Rochet ; edited by Wolfgang J. Runggaldier
- 出版情報:
- Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 1997
- 著者名:
Biais, Bruno. Björk, Thomas. Cvitanic, Jakša. El Karoui, Nicole. Jouini, Elyes. Rochet, J.C. Runggaldier, Wolfgang J. SpringerLink (Online service) - シリーズ名:
- C.I.M.E. Foundation Subseries ; 1656
- ISBN:
- 9783540683568 [3540683569]
- 注記:
- 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.
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. - ローカル注記:
- 学内専用E-BOOKS (local access only)
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