René Carmona

Statistical Analysis of Financial Data in R

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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications

The goal of this textbook is to introduce students to the stochastic analysis tools that play an increasing role in the probabilistic approach to opti...

Stochastic Partial Differential Equations: Six Perspectives

Six Perspectives

The field of Stochastic Partial Differential Equations (SPDEs) is one of the most dynamically developing areas of mathematics. It lies at the cross se...

Statistical Analysis of Financial Data in S-Plus

This is the first book at the graduate textbook level to discuss analyzing financial data with S-PLUS. Its originality lies in the introduction of too...

Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic e...

Paris-Princeton Lectures on Mathematical Finance 2004

This is the third volume in the Paris-Princeton Lectures in Financial Mathematics, which publishes, on an annual basis, cutting-edge research in self-...

Nonlinear Stochastic Integrators, Equations and Flows

Highly technical monograph in which the authors, writing on the basis of their own recent research for the benefit of expert readers, describe a gener...

Probabilistic Theory of Mean Field Games with Applications I

Mean Field FBSDEs, Control, and Games

This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications. The book is self...

Probabilistic Theory of Mean Field Games with Applications II

Mean Field Games with Common Noise and Master Equations

This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications. The book is self...

Practical Time-frequency Analysis

Gabor and Wavelet Transforms with an Implementation in S

Time frequency analysis has been the object of intense research activity in the last decade. This book gives a self-contained account of methods recen...

Paris-Princeton Lectures on Mathematical Finance 2004

This is the third volume in the Paris-Princeton Lectures in Financial Mathematics, which publishes, on an annual basis, cutting-edge research in self-...

Spectral Theory of Random Schrödinger Operators

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Probabilistic Theory of Mean Field Games with Applications I-II

This two-volume set offers an expansive overview of the probabilistic approach to game models and their applications. Considered the first comprehensi...

Spectral Theory of Random Schrodinger Operators

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