tailieunhanh - Paris-Princeton Lectures on Mathematical Finance 2004

This is the third volume of the Paris-Princeton Lectures in Mathematical Finance. The goal of this series is to publish cutting edge research in self-contained articles prepared by well known leaders in the field or promising young researchers invited by the editors. Particular attention is paid to the quality of the exposition, and the aim is at articles that can serve as an introductory reference for research in the field. The series is a result of frequent exchanges between researchers in finance and financial mathematics in Paris and Princeton. Many of us felt that the field would benefit from timely exposés of topics in which there is. | Lecture Notes in Mathematics 1919 Editors . Morel Cachan F. Takens Groningen B. Teissier Paris René A. Carmona Ivar Ekeland Arturo Kohatsu-Higa Jean-Michel Lasry Pierre-Louis Lions Huyên Pham Erik Taflin Paris-Princeton Lectures on Mathematical Finance 2004 Editorial Committee . Carmona E. Cinlar. I. Ekeland E. Jouini J. A. Scheinkman N. Touzi Aspringer Authors René A. Carmona Bendheim Center for Finance Department of Operations Research and Financial Engineering Princeton University Princeton NJ 08544 USA e-mail rcarmona@ Arturo Kohatsu-Higa Graduate School of Engineering Sciences Osaka University Machikaneyama Cho 1-3 Osaka 560-8531 Japan e-mail kohatsu@ Pierre-Louis Lions College de France 11 place Marcelin Berthelot 75005 Paris CX 05 France e-mail Erik Taflin Chair in Mathematical Finance EISTI Ecole Internationale des Sciences du Traitement de l Information Avenue du Parc 95011 Cergy France e-mail taflin@ Ivar Ekeland Canada Research Chair in Mathematical Economics University of British Columbia Department of Mathematics 1984 Mathematics Road V6T 1Z2 Canada e-mail ekeland@ Jean-Michel Lasry CALYON 9 Quai du Président Paul Doumer 92920 Paris-La Défense Cedex France e-mail Huyên Pham Laboratoire de Probabilités et Modèles Aléatoires CNRS UMR 7599 Université Paris 7 and Institut Universitaire de France Paris CX 05 France e-mail pham@ The addresses of the volume editors appear on page IX Library of Congress Control Number 2007930225 Mathematics Subject Classification 2000 91B28 91B70 60G49 49J55 60H07 90C46 ISSN print edition 0075-8434 ISSN electronic edition 1617-9692 ISBN 978-3-540-73326-3 Springer Berlin Heidelberg New York DOI 978-3-540-73327-0 This work is subject to copyright. All rights are reserved whether the whole or part of the material is concerned specifically the rights of translation .

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