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Aspects of Mathematical Finance

Contributor(s): Yor, Marc [editor.] | SpringerLink (Online service).
Material type: materialTypeLabelBookPublisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 2008.Description: VIII, 80 p. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9783540752653.Subject(s): Mathematics | Economics, Mathematical | Public finance | Mathematics | Quantitative Finance | Public EconomicsDDC classification: 519 Online resources: Click here to access online
Contents:
Introduction: Some Aspects of Financial Mathematics -- Financial Uncertainty, Risk Measures and Robust Preferences -- The Notion of Arbitrage and Free Lunch in Mathematical Finance -- Dynamic Financial Risk Management -- Stochastic Clock and Financial Markets -- Options and Partial Differential Equations -- Mathematics and Finance.
In: Springer eBooksSummary: Considering the stupendous gain in importance, in the banking and insurance industries since the early 1990’s, of mathematical methodology, especially probabilistic methodology, it was a very natural idea for the French "Académie des Sciences" to propose a series of public lectures, accessible to an educated audience, to promote a wider understanding for some of the fundamental ideas, techniques and new tools of the financial industries. These lectures were given at the "Académie des Sciences" in Paris by internationally renowned experts in mathematical finance, and later written up for this volume which develops, in simple yet rigorous terms, some challenging topics such as risk measures, the notion of arbitrage, dynamic models involving fundamental stochastic processes like Brownian motion and Lévy processes. The Ariadne’s thread leads the reader from Louis Bachelier’s thesis 1900 to the famous Black-Scholes formula of 1973 and to most recent work close to Malliavin’s stochastic calculus of variations. The book also features a description of the trainings of French financial analysts which will help them to become experts in these fast evolving mathematical techniques. The authors are: P. Barrieu, N. El Karoui, H. Föllmer, H. Geman, E. Gobet, G. Pagès, W. Schachermayer and M. Yor.
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E books E books PK Kelkar Library, IIT Kanpur
Available EBK10401
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Introduction: Some Aspects of Financial Mathematics -- Financial Uncertainty, Risk Measures and Robust Preferences -- The Notion of Arbitrage and Free Lunch in Mathematical Finance -- Dynamic Financial Risk Management -- Stochastic Clock and Financial Markets -- Options and Partial Differential Equations -- Mathematics and Finance.

Considering the stupendous gain in importance, in the banking and insurance industries since the early 1990’s, of mathematical methodology, especially probabilistic methodology, it was a very natural idea for the French "Académie des Sciences" to propose a series of public lectures, accessible to an educated audience, to promote a wider understanding for some of the fundamental ideas, techniques and new tools of the financial industries. These lectures were given at the "Académie des Sciences" in Paris by internationally renowned experts in mathematical finance, and later written up for this volume which develops, in simple yet rigorous terms, some challenging topics such as risk measures, the notion of arbitrage, dynamic models involving fundamental stochastic processes like Brownian motion and Lévy processes. The Ariadne’s thread leads the reader from Louis Bachelier’s thesis 1900 to the famous Black-Scholes formula of 1973 and to most recent work close to Malliavin’s stochastic calculus of variations. The book also features a description of the trainings of French financial analysts which will help them to become experts in these fast evolving mathematical techniques. The authors are: P. Barrieu, N. El Karoui, H. Föllmer, H. Geman, E. Gobet, G. Pagès, W. Schachermayer and M. Yor.

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