Synopses & Reviews
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.
Synopsis
This is the third volume in the Paris-Princeton Lectures in Financial Mathematics, which publishes, on an annual basis, cutting-edge research in self-contained, expository articles from outstanding specialists, both established and upcoming. Coverage includes articles by René Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, Pierre-Louis Lions/Jean-Michel Lasry, and Huyên Pham.
Table of Contents
R. Carmona: HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets.- I. Ekeland, Erik Taflin: Optimal Bond Portfolios.- A. Kohatsu-Higa: Models for Insider Trading with Finite Utility.- P.-L. Lions, J.-M. Lasry: Large Investor Trading Impacts on Volatility.- H. Pham: Some Applications and Methods of Large Deviations in Finance and Insurance.