Paris-Princeton Lectures on Mathematical Finance 2003

Tomasz R. Bielecki, Monique Jeanblanc-Picque, José A. Scheinkman, Tomas Björk, Marek Rutkowski, Wei Xiong - Collection Lectures Notes in Mathematics

250 pages, parution le 27/01/2005

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Résumé

The Paris-Princeton Lectures in Financial Mathematics, of which this is the second 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.

This volume presents the following articles: "Hedging of Defaultable Claims" by T. Bielecki, M. Jeanblanc, and M. Rutkowski; "On the Geometry of Interest Rate Models" by T. Björk; "Heterogeneous Beliefs, Speculation and Trading in Financial Markets" by J.A. Scheinkman, and W. Xiong.

Written for:
Researchers and graduate students of quantitative finance

L'auteur - Monique Jeanblanc-Picque

Monique JEANBLANC-PICQUE, ancienne eleve de l'Ecole Normale Superieure de Cachan, est professeur de mathematiques a l'Universite d'Evry- Val-d'Essonne et enseigne dans le doctorat de l'Ecole des Hautes Etudes Commerciales (HEC) et dans le DEA de Finance de marche et Gestion bancaire de l'Universite Paris I.

Sommaire

Hedging of Defaultable Claims
- Replication of Defaultable Claims
- Mean-Variance Approach
- Indifference Pricing
On the Geometry of Interest RateModels
Heterogeneous Beliefs, Speculation and Trading in Financial Markets

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Tomasz R. Bielecki, Monique Jeanblanc-Picque, José A. Scheinkman, Tomas Björk, Marek Rutkowski, Wei Xiong
Collection	Lectures Notes in Mathematics
Parution	27/01/2005
Nb. de pages	250
Format	15,5 x 23,5
Couverture	Broché
Poids	420g
Intérieur	Noir et Blanc
EAN13	9783540222668