HJM: a unified approach to dynamic models for fixed income, credit and equity markets / René A. Carmona -- Optimal bond portfolios / Ivar Ekeland, Erik Taflin -- Models for insider trading with finite utility / Arturo Kohatsu-Higa -- Large investor trading impacts on volatility / Pierre-Louis Lions, Jean-Michel Lasry -- Some applications and methods of large deviations in finance and insurance / Huyên Pham
Summary
Contains a series of articles that can serve as an introductory reference for research in the field. This book is based on frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. It comprises articles by Rene Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, and Pierre-Louis Lions/Jean-Michel Lasry
Notes
"This is the third volume of the Paris-Princeton Lectures in Mathematical Finance"--Preface
