Cousin A. et al. Paris-Princeton Lectures on Mathematical Finance 2010

Springer -2010, 359 pages
ISBN: 3642146597The Paris-Princeton Lectures on Mathematical Finance, of which this is the fourth volume, publish cutting-edge research in self-contained, expository articles from outstanding specialists - established or on the rise! The aim is to produce a series of articles that can serve as an introductory reference source for research in the field. The articles are the result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with articles by Areski Cousin, Monique Jeanblanc and Jean-Paul Laurent, Stéphane Crépey, Olivier Guéant, Jean-Michel Lasry and Pierre-Louis Lions, David Hobson, and Peter Tankov.Hedging CDO Tranches in a Markovian Environment
Areski Cousin, Monique Jeanblanc, and Jean-Paul LaurentAbout the Pricing Equations in Finance
Stéphane CrépeyMean Field Games and Applications
Olivier Guéant, Jean-Michel Lasry, and Pierre-Louis LionsThe Skorokhod Embedding Problem
and Model-Independent Bounds for Option Prices
David HobsonPricing and Hedging in Exponential Lévy Models: Review
of Recent Results
Peter Tankov