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© 2002

Mathematical Finance — Bachelier Congress 2000

Selected Papers from the First World Congress of the Bachelier Finance Society, Paris, June 29–July 1, 2000

  • Hélyette Geman
  • Dilip Madan
  • Stanley R. Pliska
  • Ton Vorst
Book

Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages I-X
  2. Paul Samuelson
    Pages 41-45
  3. S. R. S. Varadhan
    Pages 85-92
  4. Tomas Björk, Camilla Landén
    Pages 111-149
  5. Aleš Černý, Stewart Hodges
    Pages 175-202
  6. M. A. H. Dempster, S. S. G. Hong
    Pages 203-220
  7. Catherine Donati-Martin, Hiroyuki Matsumoto, Marc Yor
    Pages 221-243
  8. Robert J. Elliott, John van der Hoek
    Pages 269-280
  9. Monique Jeanblanc, Marek Rutkowski
    Pages 281-312
  10. Franck Moraux, Patrick Navatte
    Pages 339-352
  11. Jean-Luc Prigent, Olivier Renault, Olivier Scaillet
    Pages 353-373
  12. Andrea Roncoroni, Paolo Guiotto
    Pages 407-426

About this book

Keywords

Boundary value problem Brownian motion Calculation Credit Derivatives Markov Chains Markov chain Peak Simulation Treasury derivatives geometric Brownian motion investment mathematical finance modeling risk management

Editors and affiliations

  • Hélyette Geman
    • 1
    • 2
  • Dilip Madan
    • 3
  • Stanley R. Pliska
    • 4
  • Ton Vorst
    • 5
  1. 1.CEREMADE, UMR CNRS 7534Université Paris IX-DauphineParis Cedex 16France
  2. 2.Groupe ESSECCergy-Pontoise CedexFrance
  3. 3.Robert H. Smith School of BusinessUniversity of MarylandCollege ParkUSA
  4. 4.Department of FinanceUniversity of IllinoisChicagoUSA
  5. 5.Erasmus Universiteit RotterdamRotterdamThe Netherlands

Bibliographic information

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