© 2003

Paris-Princeton Lectures on Mathematical Finance 2002

  • Authors

Part of the Lecture Notes in Mathematics book series (LNM, volume 1814)

Table of contents

  1. Front Matter
    Pages N2-X
  2. Fabrice Baudoin
    Pages 43-94
  3. H. Mete Soner, Nizar Touzi
    Pages 133-172
  4. Back Matter
    Pages 173-175

About this book


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.


American options consumption duality dynamic programming mathematical finance mathematics modeling modeling financial markets sets super-replication

Bibliographic information

  • Book Title Paris-Princeton Lectures on Mathematical Finance 2002
  • Authors Peter Bank
    Fabrice Baudoin
    Hans Föllmer
    L. C. G. Rogers
    Halil Mete Soner
    Nizar Touzi
  • Editors René Carmona
    Erhan Çınlar
    Ivar Ekeland
    Elyès Jouini
    Jose A. Scheinkman
    Nizar Touzi
  • Series Title Lecture Notes in Mathematics
  • Series Abbreviated Title LNM
  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 2003
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Softcover ISBN 978-3-540-40193-3
  • eBook ISBN 978-3-540-44859-4
  • Series ISSN 0075-8434
  • Series E-ISSN 1617-9692
  • Edition Number 1
  • Number of Pages X, 178
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Topics Quantitative Finance
    Game Theory, Economics, Social and Behav. Sciences
    Probability Theory and Stochastic Processes
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