On mathematical finance

P. L. Lions

Bollettino dell'Unione Matematica Italiana (2000)

  • Volume: 3-B, Issue: 3, page 553-572
  • ISSN: 0392-4041

How to cite

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Lions, P. L.. "On mathematical finance." Bollettino dell'Unione Matematica Italiana 3-B.3 (2000): 553-572. <http://eudml.org/doc/194944>.

@article{Lions2000,
author = {Lions, P. L.},
journal = {Bollettino dell'Unione Matematica Italiana},
keywords = {survey; modelling and numerical issues},
language = {eng},
month = {10},
number = {3},
pages = {553-572},
publisher = {Unione Matematica Italiana},
title = {On mathematical finance},
url = {http://eudml.org/doc/194944},
volume = {3-B},
year = {2000},
}

TY - JOUR
AU - Lions, P. L.
TI - On mathematical finance
JO - Bollettino dell'Unione Matematica Italiana
DA - 2000/10//
PB - Unione Matematica Italiana
VL - 3-B
IS - 3
SP - 553
EP - 572
LA - eng
KW - survey; modelling and numerical issues
UR - http://eudml.org/doc/194944
ER -

References

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  1. AVALLANEDA, M.- PARAY, A.- LEVY, A., Pricing and hedging derivative securities inmarckets with uncertain volatilities, Appl. Math. Finance, 2 (1995), 73-88. 
  2. BARLES, G.- DAHER, E.- ROMANO, M., preprint. 
  3. BARLES, G.- SONER, M. H., Option pricing with transaction costs and a nonlinearBlack-Scholes equation, Finance and Stochastics, to appear. Zbl0915.35051
  4. BLACK, F.- SCHOLES, M., The pricing of options and corporate liabilities, J. Political Economy, 81 (1973), 637-659. Zbl1092.91524
  5. CAFFLISCH, R.- MARCKOFF, W.- OWAR, A., Valuation of mortgage-backed securitiesusing Brownian bridges to reduce effective dimension, J. Comp. Finance, 1 (1997),27-46. 
  6. DUFFIE, D., Security Markets: Stochastics Models, Academic Press, Boston, 1988. Zbl0661.90001MR955269
  7. DUFFIE, D., Dynamic Asset Pricing Theory, 2nd edit., Princeton Univ. Press, Princeton, 1996. Zbl1140.91041
  8. FOURNIÉ, E.- LEBUCHAUX, J.- LASRY, J. M.- LIONS, P. L.- TAURI, N., Applications of Malliavin calculus to Monte-Carlo methods in Finance, Finance and Stochastics, 3 (1999). Zbl0947.60066MR1842285
  9. FOURNIÉ, E.- LEBUCHAUX, J.- LASRY, J.-M.- LIONS, P.-L., Applications of Malliavincalculus to Monte-Carlo methods in Finance, II, Finance and Stochastics, toappear. Zbl0973.60061
  10. LAMBERTON, D.- LAPEYIRE, B., Introduction au calcul stochastique appliquè a la Finance, 1991. Zbl0497.60055
  11. LASRY, J. M.- LIONS, P. L., work in preparation. 
  12. LASRY, J.-M.- LIONS, P.-L., Control stochastique avec informations partielles et applicationsa la Finance, C.R. Acad. Sci. Paris, 328 (1999), 1003-1010. Zbl0937.93058MR1696196
  13. LIONS, P.-L., Viscosity solutions of fully nonlinear second order equations and optimalstochastic control in infinite dimension, Part II: Optimal control of Zakai'sequation. In Stochastic Partial Differential Equations and Applications, II. SpringerL.N. Maths, 1340, Berlin, 1989. Zbl0757.93083MR1019600
  14. LIONS, P.-L.- RÉGNIER, H., work in preparation. 
  15. MALLIAVIN, P., Stochastic Analysis, Springer, Berlin, 1997. Zbl0878.60001MR1450093
  16. MERTON, R., Theory of rational option pricing, Bell J. Econom. Manag. Sci, 4 (1973), 141-183. MR496534
  17. MUSIELA, M.- RUTKOWSKI, M., Mastingale methods in Financial Modelling, Springer, Berlin, 1997. Zbl0906.60001MR1474500
  18. NUALART, D., The Malliavin calculus and related topics, Springer, Berlin, 1995. Zbl0837.60050MR1344217
  19. ROBONTOS, R., Interest rate option models, Wiley, New-York, 1997. Zbl0992.91500

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