The current volume presents four chapters touching on some of the most important and modern areas of research in Mathematical Finance: asset price bubbles (by Philip Protter); energy markets (by Fred Espen Benth); investment under transaction costs (by Paolo Guasoni and Johannes Muhle-Karbe); and numerical methods for solving stochastic equations (by Dan Crisan, K. Manolarakis and C. Nee).The Paris-Princeton Lecture Notes on Mathematical Finance, of which this is the fifth volume, publish cutting-edge research in self-contained, expository articles from renowned specialists. The aim is to produce a series of articles that can serve as an introductory reference source for research in the field.

Presents cutting-edge research in Mathematical Finance Includes supplementary material: sn.pub/extras

Autorentext
Ronnie Sircar taught for three years at the University of Michigan in the Department of Mathematics before moving to Princeton University in 2000. He is now a Professor in the Operations Research and Financial Engineering Department at Princeton and an affiliate member of the Bendheim Center for Finance and the Program in Applied and Computational Mathematics.

Inhalt

Preface: Vicky Henderson & Ronnie Sircar .- Philip Protter: A Mathematical Theory of Financial Bubbles .- Fred Espen Benth: Stochastic Volatility and Dependency in Energy Markets Multi-Factor Modelling .- Paolo Guasoni: Portfolio Choice with Transaction Costs: a User's Guide.- Dan Crisan: Cubature Methods and Applications .