Paris-Princeton Lectures on Mathematical Finance 2010

Cousin, Areski; Crépey, Stéphane; Guéant, Olivier; Hobson, David; Jeanblanc, Monique; Lasry, Jean-Michel; Laurent, Jean-Paul; Lions, Pierre-Louis; Tankov, Peter

Cousin, Areski; Crépey, Stéphane; Guéant, Olivier; Hobson, David; Jeanblanc, Monique; Lasry, Jean-Michel; Laurent, Jean-Paul; Lions, Pierre-Louis; Tankov, Peter (2011), Paris-Princeton Lectures on Mathematical Finance 2010, Springer : Berlin, p. 359. http://dx.doi.org/10.1007/978-3-642-14660-2

Type

Ouvrage

Date

2011

Publisher

Springer

Series title

Lecture Notes in Mathematics

Series number

2003

Published in

Berlin

ISBN

978-3-642-14659-6

Pages

359

Subjects / Keywords

Skorokhod Embedding Problem; Pricing Equations in Finance; Mean field games and applications; CDO tranches in a Markovian environment