The <STRONG>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 aim is to produce a series of articles that can serve as an introductory reference for research in the field. It arises as a result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with articles by P. Bank/H. Föllmer, F. Baudoin, L.C.G. Rogers, and M. Soner/N. Touzi.
Lecture Notes in Mathematics Editors: J.--M. Morel, Cachan F. Takens, Groningen B. Teissier, Paris 1814 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 13 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: