Paris-Princeton Lectures on Mathematical Finance 2013 [electronic resource] : Editors: Vicky Henderson, Ronnie Sircar / by Fred Espen Benth, Dan Crisan, Paolo Guasoni, Konstantinos Manolarakis, Johannes Muhle-Karbe, Colm Nee, Philip Protter.
Tipo de material:
TextoSeries Lecture Notes in Mathematics, 2081Editor: Heidelberg : Springer International Publishing : Imprint: Springer, 2013Descripción: IX, 316 p. 40 illus., 34 illus. in color. online resourceTipo de contenido: text Tipo de medio: computer Tipo de portador: online resourceISBN: 9783319004136Trabajos contenidos: SpringerLink (Online service)Tema(s): Mathematics | Finance | Mathematics | Game Theory, Economics, Social and Behav. Sciences | Financial EconomicsFormatos físicos adicionales: Sin títuloClasificación CDD: 519 Clasificación LoC:HB144QA269-272Recursos en línea: de clik aquí para ver el libro electrónico Preface: Vicky Henderson & Ronnie Sircar -- Philip Protter: A Mathematical Theory of Financial Bubbles -- Fred Espen Benth: Stochastic Volatility and Dependency in Energy Markets Multi-Factor Modelling -- Paolo Guasoni: Portfolio Choice with Transaction Costs: a User's Guide -- Dan Crisan: Cubature Methods and Applications.
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.
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