Paris-Princeton Lectures on Mathematical Finance 2002 (Lecture Notes in Mathematics (1814))

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 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. At first sight, the optimization problems of exercising an American option, of allocating effort to several parallel projects, and of choosing an intertemporal consumption plan seem to be rather different in nature.