The Paris-Princeton Lectures in Financial Mathematics, of which this is the third 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. The present volume sets standards with articles by René Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, Pierre-Louis Lions/Jean-Michel Lasry, and Hyuên Pham.
Author(s): René A. Carmona, Ivar Ekeland, Arturo Kohatsu-Higa, Jean-Michel Lasry, Pierre-Louis Lions, Huyên Pham, Erik Taflin (auth.)
Series: Lecture Notes in Mathematics 1919
Edition: 1
Publisher: Springer-Verlag Berlin Heidelberg
Year: 2007
Language: English
Commentary: +OCR
Pages: 248
Tags: Quantitative Finance; Game Theory, Economics, Social and Behav. Sciences; Probability Theory and Stochastic Processes
Front Matter....Pages i-viii
HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets....Pages 1-50
Optimal Bond Portfolios....Pages 51-102
Models for Insider Trading with Finite Utility....Pages 103-171
Large Investor Trading Impacts on Volatility....Pages 173-190
Some Applications and Methods of Large Deviations in Finance and Insurance....Pages 191-244
Back Matter....Pages 245-249
