Paris-Princeton Lectures on Mathematical Finance 2002
The Paris-Princeton Lectures in Financial Mathematics, of which this is the first volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The ai
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3 Berlin Heidelberg New York Hong Kong London Milan Paris Tokyo
Peter Bank Fabrice Baudoin Hans F¨ollmer L.C.G. Rogers Mete Soner Nizar Touzi
Paris-Princeton Lectures on Mathematical Finance 2002 Editorial Committee: R. A. Carmona, E. C ¸ inlar, I. Ekeland, E. Jouini, J. A. Scheinkman, N. Touzi
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Authors Peter Bank Institut f¨ur Mathematik Humboldt-Universit¨at zu Berlin 10099 Berlin, Germany
L.C.G. Rogers Statistical Laboratory Wilberforce Road Cambridge CB3 0WB, UK
e-mail: [email protected]
e-mail: [email protected]
Fabrice Baudoin Department of Financial and Actuarial Mathematics Vienna University of Technology 1040 Vienna, Austria
Mete Soner Department of Mathematics Koc¸ University Istanbul, Turkey
e-mail: [email protected] Hans F¨ollmer Institut f¨ur Mathematik Humboldt-Universit¨at zu Berlin 10099 Berlin, Germany e-mail: [email protected]
e-mail: [email protected] Nizar Touzi Centre de Recherche en Economie et Statistique 92245 Malakoff Cedex, France e-mail: [email protected] [The addresses of the volume editors appear on page VII]
Cover Figure: Typical paths for the deflator ψ, a universal consumption signal L, η and the induced level of satisfaction Y C , by courtesy of P. Bank and H. F¨ollmer Cataloging-in-Publication Data applied for Bibliographic information published by Die Deutsche Bibliothek Die Deutsche Bibliothek lists this publication in the Deutsche Nationalbibliografie; detailed bibliographic data is available in the Internet at http://dnb.ddb.de Mathematics Subject Classification (2000): 60H25, 60G07, 60G40,91B16, 91B28, 49J20, 49L20,35K55 ISSN 0075-8434 ISBN 3-540-40193-8 Springer-Verlag Berlin Heidelberg New York This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specif ically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microf ilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer-Verlag. Violations are liable for prosecution under the German Copyright Law. Springer-Verlag Berlin Heidelberg New York a member of BertelsmannSpringer Science + Business Media GmbH c Springer-Verlag Berlin Heidelberg 2003 Printed in Germany The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specif ic statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Typesetting: Camera-ready TEX output by the author SPIN: 10932056
41/3142-543210 - Printed on acid-free paper
Preface
This is the first volume of the Paris-Princeton Lectures in Financial Mathematics. The goal of this series is to publish cutting edge research in self-contained articles prepared by w
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