Paris-Princeton Lectures on Mathematical Finance 2003
The Paris-Princeton Lectures in Financial Mathematics, of which this is the second volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The aim is
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Tomasz R. Bielecki Tomas Bj¨ork Monique Jeanblanc Marek Rutkowski Jos´e A. Scheinkman Wei Xiong
Paris-Princeton Lectures on Mathematical Finance 2003 Editorial Committee: R. A. Carmona, E. C ¸ inlar, I. Ekeland, E. Jouini, J. A. Scheinkman, N. Touzi
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Authors Tomasz R. Bielecki Department of Applied Mathematics Illinois Institute of Technology Chicago, IL 60616, USA e-mail: [email protected] Tomas Bj¨ork Department of Finance Stockholm School of Economics Box 6501 11383 Stockholm, Sweden e-mail: [email protected] Monique Jeanblanc Equipe d’Analyse et Probabilit´es Universit´e d’E´ vry-Val d’Essonne 91025 E´ vry, France e-mail: [email protected]
Marek Rutkowski Faculty of Mathematics and Information Science Warsaw University of Technolgy Pl. Politechniki 1 00-661 Warsaw, Poland e-mail: [email protected] Jos´e A. Scheinkman Bendheim Center of Finance Princeton University Princeton NJ 08530, USA e-mail: [email protected] Wei Xiong Bendheim Center of Finance Princeton University Princeton NJ 08530, USA e-mail: [email protected] [The addresses of the volume editors appear on page IX]
Library of Congress Control Number:2004110085 Mathematics Subject Classification (2000): 92B24, 91B28, 91B44, 91B70, 60H30, 93E20 ISSN 0075-8434 ISBN 3-540-22266-9 Springer Berlin Heidelberg New York DOI 10.1007/b98353 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. Violations are liable for prosecution under the German Copyright Law. Springer is part of Springer Science+Business Media springeronline.com c Springer-Verlag Berlin Heidelberg 2004 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 authors 41/3142-543210 - Printed on acid-free paper
Preface This is the second 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 expo
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