Paris-Princeton Lectures on Mathematical Finance 2013 / Fred Espen Benth, Dan Crisan, Paolo Guasoni... [et al.] ; editors: Vicky Henderson, Ronnie Sircar

Date :

Type : Livre / Book

Langue / Language : anglais / English

ISBN : 978-3-319-00413-6

Mathématiques financières

Volatilité (finances)

Optimisation mathématique

Gestion de portefeuille

Finances -- Modèles mathématiques

Classification Dewey : 519

Henderson, Vicky (19..-....) (Directeur de publication / publishing director)

Sircar, Ronnie (19..-....) (Directeur de publication / publishing director)

Collection : Lecture notes in mathematics / Heidelberg : Springer , 2001-

Relation : Paris-Princeton lectures on mathematical finance 2013 / Fred Espen Benth, Dan Crisan, Paolo Guasoni... [et al.] ; Editors: Vicky Henderson, Ronnie Sircar / Cham (Suisse) : Springer , cop. 2013, cop. 2013

Résumé / Abstract : The current volume presents four chapters touching on some of the most important and modern areas of research in Mathematical Finance: asset price bubbles (by Philip Protter); energy markets (by Fred Espen Benth); investment under transaction costs (by Paolo Guasoni and Johannes Muhle-Karbe); and numerical methods for solving stochastic equations (by Dan Crisan, K. Manolarakis and C. Nee).The Paris-Princeton Lecture Notes on Mathematical Finance, of which this is the fifth volume, publish cutting-edge research in self-contained, expository articles from renowned specialists. The aim is to produce a series of articles that can serve as an introductory reference source for research in the field