Proceedings of Symposia in Applied Mathematics 1999; 167 pp; hardcover Volume: 57 ISBN10: 082180751X ISBN13: 9780821807514 List Price: US$38 Member Price: US$30.40 Order Code: PSAPM/57
 The foundation for the subject of mathematical finance was laid nearly 100 years ago by Bachelier in his fundamental work, Théorie de la spéculation. In this work, he provided the first treatment of Brownian motion. Since then, the research of Markowitz, and then of Black, Merton, Scholes, and Samuelson brought remarkable and important strides in the field. A few years later, Harrison and Kreps demonstrated the fundamental role of martingales and stochastic analysis in constructing and understanding models for financial markets. The connection opened the door for a flood of mathematical developments and growth. Concurrently with these mathematical advances, markets have grown, and developments in both academia and industry continue to expand. This lively activity inspired an AMS Short Course at the Joint Mathematics Meetings in San Diego (CA). The present volume includes the written results of that course. Articles are featured by an impressive list of recognized researchers and practitioners. Their contributions present deep results, pose challenging questions, and suggest directions for future research. This collection offers compelling introductory articles on this new, exciting, and rapidly growing field. Readership Graduate students, and applied and research mathematicians interested in mathematical finance; physicists; engineers. Table of Contents  S. E. Shreve  Quantitative methods for portfolio management
 M. Avellaneda  An introduction to option pricing and the mathematical theory of risk
 F. Delbaen and W. Schachermayer  Nonarbitrage and the fundamental theorem of asset pricing: Summary of main results
 D. Heath  Introduction to models for the evolution of the term structure of interest rates
 Y. AïtSahalia  Transition densities for interest rate and other nonlinear diffusions
 T. Zariphopoulou  Transaction costs in portfolio management and derivative pricing
 Index
