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
Published on 20. March 1997
Book
Paperback/Softback
VII, 316 pages
978-3-540-62642-8 (ISBN)
Description
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.
More details
Series
Edition
1997 ed.
Language
English
Place of publication
Berlin
Germany
Publishing group
Springer Berlin
Target group
Professional and scholarly
Research
Illustrations
VII, 316 p.
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 18 mm
Weight
499 gr
ISBN-13
978-3-540-62642-8 (9783540626428)
DOI
10.1007/BFb0091997
Schweitzer Classification
Content
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.