Rene Carmona
Paul Wythes ’55 Professor of Engineering and Finance
PUBLISHED BOOKS, MEMOIRS, MONOGRAPHS
(with D. Nualart) Nonlinear Stochastic Integrators, Equations and Flows. Stoch. Monographs, Gordon & Breach (March 1990) 150p.
(with J. Lacroix) Random Schrodinger Operators. Birkh"auser (July 1990) 600p.
(with S. A. Molchanov) Parabolic Anderson Problem and Intermittency. Mem. Amer. Math. Soc. # 518, March 1994
(with A. Antoniadis and J. Berruyer) Regression Nonlineaire (1992) Economica
(with W.L Hwang and B. Torresani) Practical Time Frequency Analysis with an Implementation in S Academic Press (1998)
Statistical Analysis of Financial Data in SPlus, Springer Verlag (2004)
(with M. Tehranchi) Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective. Springer Verlag (2006)
Statistical Analysis of Financial Data in R, Springer Verlag (2013)
EDITED BOOKS
Stochastic Partial Differential Equations: Six Perspectives. R. Carmona & B. Rozovskii eds. Amer. Math. Soc. Providence RI (1999)
Paris  Princeton Lectures on Mathematical Finance 2002, Lecture Notes in Mathematics, 1814, (2003)
Paris  Princeton Lectures on Mathematical Finance 2003, Lecture Notes in Mathematics, 1847, (2004)
Paris  Princeton Lectures on Mathematical Finance 2004, Lecture Notes in Mathematics, 1919, (2007)
Paris  Princeton Lectures on Mathematical Finance 2008, Lecture Notes in Mathematics, 2003, (2010)
Indifference Pricing, Princeton University Press, series in Financial Engineering (2008)
Numerical Methods in Finance, Springer Verlag, (2012)
BOOK CHAPTERS
Spectral Theory of Random Schroedinger Operators, Ecole d'Ete de Probabilites de Saint Flour XIII, Lect. Notes in Math., # 1180.
Transport Properties of Gaussian Velocity Fields. in Real and Stochastic Analysis: Recent Advances, ed. M.M. Rao, CRC Press, (1997) 963.
(with F. Cerou) Transport by Incompressible Stochastic Flows: Numerical Simulations and Mathematical Conjectures. in Stochastic Partial Differential Equations: Six Perspectives, eds. R.A. Carmona & B. Rozovskii. Amer. Math. Soc. (1998)
From Markovian to Partially Observable Systems, in Indifference Pricing, ed. R. Carmona, Princeton University Press (2007)
Applications to Weather Derivatives and Energy Contracts, in Indifference Pricing, ed. R. Carmona, Princeton University Press (2007)
HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets, in Paris Princeton Lectures in Mathematical Finance, 2004, Lect. Notes in Math. # 1919, (2007) pp. 150, Springer Verlag pdf.file
(with P. Del Moral, P. Hu and Nadia Oudjane) An introduction to particle methods in Finance, in Numerical Methods in Finance, eds R. Carmona, P. Del Moral, P. Hu and Nadia Oudjane, (2012) pp. 1 45, Springer Verlag
(with M. Coulon) A Survey of Commodity Markets and Structural Approaches to Modeling Electricity, in Energy Markets, Proceedings of the WPI Special Year/} ed F. Benth, (2012) pp. 1 42, Springer Verlag pdf file
CLASS LECTURE NOTES (use at your own risk !)
ORF 531: Computational Finance in C
ORF 542: BSDEs, Stochastic Control and Stochatic Games
