Paris-Princeton Lectures on Mathematical Finance 2002 (Lecture Notes in Mathematics)
Contributors: Nizar Touzi (Editor); René A. Carmona (Editor); Erhan Cinlar (Editor); Ivar Ekeland (Editor); Elyès Jouini (Editor); José A. Scheinkman (Editor)
Edition: 1 edition
Publisher: Springer
Published: September 29, 2003
Language: eng
Format: Paperback
Number of pages: 172
ISBN-13: 9783540401933
Subjects: Science/Mathematics; Business mathematics; General; Finance; Mathematics; Business / Economics / Finance; Game Theory; Probability & Statistics - General; American options; Business & Economics / Finance; consumption; duality; dynamic programming; modeling financial markets; super-replication; Congresses
First sentence: At first sight, the optimization problems of exercising an American option, of allocating effort to several parallel projects, and of choosing an intertemporal consumption plan seem to be rather different in nature.