Paris-Princeton Lectures on Mathematical Finance 2010 - Lecture Notes in Mathematics
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Published By Springer Berlin Heidelberg

9783642146596, 9783642146602

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Pricing and Hedging in Exponential Lévy Models: Review of Recent Results

Paris-Princeton Lectures on Mathematical Finance 2010 - Lecture Notes in Mathematics ◽

10.1007/978-3-642-14660-2_5 ◽

2011 ◽

pp. 319-359 ◽

Author(s):

Peter Tankov

Keyword(s):

Exponential Lévy Models

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Mean Field Games and Applications

Paris-Princeton Lectures on Mathematical Finance 2010 - Lecture Notes in Mathematics ◽

10.1007/978-3-642-14660-2_3 ◽

2011 ◽

pp. 205-266 ◽

Author(s):

Olivier Guéant ◽

Jean-Michel Lasry ◽

Pierre-Louis Lions

Keyword(s):

Mean Field Games

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About the Pricing Equations in Finance

Paris-Princeton Lectures on Mathematical Finance 2010 - Lecture Notes in Mathematics ◽

10.1007/978-3-642-14660-2_2 ◽

2011 ◽

pp. 63-203 ◽

Author(s):

Stéphane Crépey

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Hedging CDO Tranches in a Markovian Environment

Paris-Princeton Lectures on Mathematical Finance 2010 - Lecture Notes in Mathematics ◽

10.1007/978-3-642-14660-2_1 ◽

2011 ◽

pp. 1-61 ◽

Author(s):

Areski Cousin ◽

Monique Jeanblanc ◽

Jean-Paul Laurent

Keyword(s):

Markovian Environment

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The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices

Paris-Princeton Lectures on Mathematical Finance 2010 - Lecture Notes in Mathematics ◽

10.1007/978-3-642-14660-2_4 ◽

2011 ◽

pp. 267-318 ◽

Author(s):

David Hobson

Keyword(s):

Embedding Problem ◽

Option Prices ◽

Skorokhod Embedding ◽

Model Independent ◽

Skorokhod Embedding Problem

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