Mathematical Finance - Bachelier Congress 2000 PDF Download
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Author: Helyette Geman
Publisher: Springer Science & Business Media
ISBN: 3662124297
Category : Mathematics
Languages : en
Pages : 521
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Book Description
The Bachelier Society for Mathematical Finance held its first World Congress in Paris last year, and coincided with the centenary of Louis Bacheliers thesis defence. In his thesis Bachelier introduces Brownian motion as a tool for the analysis of financial markets as well as the exact definition of options. The thesis is viewed by many the key event that marked the emergence of mathematical finance as a scientific discipline. The prestigious list of plenary speakers in Paris included two Nobel laureates, Paul Samuelson and Robert Merton, and the mathematicians Henry McKean and S.R.S. Varadhan. Over 130 further selected talks were given in three parallel sessions. .
Author: Helyette Geman
Publisher: Springer Science & Business Media
ISBN: 3662124297
Category : Mathematics
Languages : en
Pages : 521
Get Book
Book Description
The Bachelier Society for Mathematical Finance held its first World Congress in Paris last year, and coincided with the centenary of Louis Bacheliers thesis defence. In his thesis Bachelier introduces Brownian motion as a tool for the analysis of financial markets as well as the exact definition of options. The thesis is viewed by many the key event that marked the emergence of mathematical finance as a scientific discipline. The prestigious list of plenary speakers in Paris included two Nobel laureates, Paul Samuelson and Robert Merton, and the mathematicians Henry McKean and S.R.S. Varadhan. Over 130 further selected talks were given in three parallel sessions. .
Author: Helyette Geman
Publisher: Springer
ISBN: 9783540677819
Category : Mathematics
Languages : en
Pages : 521
Get Book
Book Description
The Bachelier Society for Mathematical Finance held its first World Congress in Paris last year, and coincided with the centenary of Louis Bacheliers thesis defence. In his thesis Bachelier introduces Brownian motion as a tool for the analysis of financial markets as well as the exact definition of options. The thesis is viewed by many the key event that marked the emergence of mathematical finance as a scientific discipline. The prestigious list of plenary speakers in Paris included two Nobel laureates, Paul Samuelson and Robert Merton, and the mathematicians Henry McKean and S.R.S. Varadhan. Over 130 further selected talks were given in three parallel sessions. .
Author: Marc Yor
Publisher: Springer Science & Business Media
ISBN: 354075265X
Category : Mathematics
Languages : en
Pages : 80
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Book Description
This collection of essays is based on lectures given at the "Académie des Sciences" in Paris by internationally renowned experts in mathematical finance. The collection 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 book also features a description of the trainings of French financial analysts.
Author: Jiongmin Yong
Publisher: World Scientific
ISBN: 9814489697
Category : Mathematics
Languages : en
Pages : 286
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Book Description
The book deals with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, etc. It also reflects on some recent developments in certain important aspects of mathematical finance.
Author: Yu. Kabanov
Publisher: Springer Science & Business Media
ISBN: 3540307885
Category : Mathematics
Languages : en
Pages : 633
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Book Description
Dedicated to the Russian mathematician Albert Shiryaev on his 70th birthday, this is a collection of papers written by his former students, co-authors and colleagues. The book represents the modern state of art of a quickly maturing theory and will be an essential source and reading for researchers in this area. Diversity of topics and comprehensive style of the papers make the book attractive for PhD students and young researchers.
Author: Ernst Eberlein
Publisher: Springer Nature
ISBN: 3030261069
Category : Mathematics
Languages : en
Pages : 774
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Book Description
Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges thegap between introductory texts and the advanced literature in the field. Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance. Graduate students, researchers as well as practitioners will benefit from this monograph.
Author: Tomasz R. Bielecki
Publisher: Springer
ISBN: 3540444688
Category : Mathematics
Languages : en
Pages : 254
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Book Description
The Paris-Princeton Lectures in Financial Mathematics, of which this is the second 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. This volume presents the following articles: "Hedging of Defaultable Claims" by T. Bielecki, M. Jeanblanc, and M. Rutkowski; "On the Geometry of Interest Rate Models" by T. Björk; "Heterogeneous Beliefs, Speculation and Trading in Financial Markets" by J.A. Scheinkman, and W. Xiong.
Author: Jean-Luc Prigent
Publisher: Springer Science & Business Media
ISBN: 3540248315
Category : Business & Economics
Languages : en
Pages : 432
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Book Description
A comprehensive overview of weak convergence of stochastic processes and its application to the study of financial markets. Split into three parts, the first recalls the mathematics of stochastic processes and stochastic calculus with special emphasis on contiguity properties and weak convergence of stochastic integrals. The second part is devoted to the analysis of financial theory from the convergence point of view. The main problems, which include portfolio optimization, option pricing and hedging are examined, especially when considering discrete-time approximations of continuous-time dynamics. The third part deals with lattice- and tree-based computational procedures for option pricing both on stocks and stochastic bonds. More general discrete approximations are also introduced and detailed. Includes detailed examples.
Author: Mark T. Hebner
Publisher: IFA Publishing, Inc.
ISBN: 0976802309
Category : Business & Economics
Languages : en
Pages : 411
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Book Description
The financial services industry has a dark secret, one that costs global investors about $2.5 trillion per year. This secret quietly drains the investment portfolios and retirement accounts of almost every investor. In 1900, French mathematician, Louis Bachelier, unsuspectingly revealed this disturbing fact to the world. Since then, hundreds of academic studies have supported Bachelier's findings. This book offers overwhelming proof of this, and shows investors how to obtain their optimal rate of return by matching their risk capacity to an appropriate risk exposure. A globally diversified portfolio of index funds is the optimal way to accomplish this. Index Funds is the treatment of choice for wayward investors. Below market returns in investment portfolios and pension accounts are the result of investors gambling with their hard earned money. This 12-Step Program will put active investors on the road to recovery. Each step is designed to bring investors closer to embracing a prudent and sound strategy of buying, holding, and rebalancing an index portfolio.
Author: Ramaprasad Bhar
Publisher: Springer Science & Business Media
ISBN: 9783540251231
Category : Business & Economics
Languages : en
Pages : 264
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Book Description
Includes traditional elements of financial econometrics but is not yet another volume in econometrics. Discusses statistical and probability techniques commonly used in quantitative finance. The reader will be able to explore more complex structures without getting inundated with the underlying mathematics.
