Paris-Princeton Lectures on Mathematical Finance 2002

Peter Bank, Hans Föllmer (auth.)9783540401933, 3540401938

The Paris-Princeton Lectures in Financial Mathematics, of which this is the first 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. The present volume sets standards with articles by P. Bank/H. Föllmer, F. Baudoin, L.C.G. Rogers, and M. Soner/N. Touzi.

Table of contents :
American Options, Multi–armed Bandits, and Optimal Consumption Plans: A Unifying View….Pages 1-42
Modeling Anticipations on Financial Markets….Pages 43-94
Duality in constrained optimal investment and consumption problems: a synthesis….Pages 95-131
The Problem of Super-replication under Constraints….Pages 133-172