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 /

• Main Authors: Biais, Bruno (Author, http://id.loc.gov/vocabulary/relators/aut), Björk, Thomas (http://id.loc.gov/vocabulary/relators/aut), Cvitanic, Jakša (http://id.loc.gov/vocabulary/relators/aut), El Karoui, Nicole (http://id.loc.gov/vocabulary/relators/aut), Jouini, Elyes (http://id.loc.gov/vocabulary/relators/aut), Rochet, J.C (http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Other Authors: Runggaldier, Wolfgang J. (Editor, http://id.loc.gov/vocabulary/relators/edt)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 1997.
• Edition: 1st ed. 1997.
• Series: C.I.M.E. Foundation Subseries ; 1656
• Subjects: Probabilities.; Public finance.; Business mathematics.; Economics, Mathematical .; Partial differential equations.; Functional analysis.; Probability Theory and Stochastic Processes.; Public Economics.; Business Mathematics.; Quantitative Finance.; Partial Differential Equations.; Functional Analysis.
• Physical Description: VII, 316 p. online resource.
• ISBN: 9783540683568
• DOI: 10.1007/BFb0091997

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.