Paris-Princeton Lectures on Mathematical Finance
type: Distribution
access URL: https://shs.hal.science/halshs-00706281
format: HTML
issued: 2026-05-15T20:58:15.891721
modified: 2026-05-15T20:58:15.865926

test_moissonnage_selune
type: Agent

Paris-Princeton Lectures on Mathematical Finance
type: Dataset
contact point: Organization
  fn: CCSD
keyword: option
keyword: pricing
keyword: books
keyword: levy-models
keyword: cdo
keyword: infoeu-reposemanticsbook
keyword: shsecohumanities-and-social-scienceseconomics-and-finance
keyword: markov-process
keyword: hedging
landing page: https://shs.hal.science/halshs-00706281
description: This is the fourth 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 established academics or promising young researchers invited by the editors. Contributions are refereed and particular attention is paid to the quality of the exposition, the goal being to publish articles that can serve as introductory references for research. 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 important progress. René Carmona, Erhan Cinlar, Ivar Ekeland, Elyes Jouini, José Scheinkman and Nizar Touzi serve in the ﬁrst editorial board of the Paris-Princeton Lectures in Financial Mathematics. Although many of the chapters involve lectures given in Paris orPrinceton, we also invite other contributions. Springer Verlag kindly offered to hostthe initiative under the umbrella of the Lecture Notes in Mathematics series, and weare thankful to Catriona Byrne for her encouragement and her help. This fourth volume contains ﬁve chapters. In the ﬁrst chapter, Areski Cousin, Monique Jeanblanc, and Jean -Paul Laurent discuss risk management and hedging of credit derivatives. The latter are over-the-counter (OTC) ﬁnancial instruments designed to transfer credit risk associated to are ference entity from one counter party to another. The agreement involves a seller and a buyer of protection, the sellerbeing committed to cover the losses induced by the default. The popularity of theseinstruments lead a runaway market of complex derivatives whose risk management did not developas fast. This ﬁrst chapter ﬁlls the gap by providing rigorous tools for quantifying and hedging counterparty risk in some of these markets. In the second chapter, Stéphane Crépey reviews the general theory of for-ward backward stochastic differential equat…
issued: 2026-05-15T20:58:15.885892
language: en
modified: 2026-05-15T20:58:15.885898