Stochastic Finance: An Introduction in Discrete Time (De Gruyter Studies in Mathematics, 27, Band 27) - Hardcover

Föllmer, Hans; Schied, Alexander

Hardcover

ISBN 10: 3110183463 ISBN 13: 9783110183467

Verlag: De Gruyter, 2004

Inhaltsangabe

This book is an introduction to financial mathematics.

The first part of the book studies a simple one-period model which serves as a building block for later developments. Topics include the characterization of arbitrage-free markets, preferences on asset profiles, an introduction to equilibrium analysis, and monetary measures of risk.

In the second part, the idea of dynamic hedging of contingent claims is developed in a multiperiod framework. Such models are typically incomplete: They involve intrinsic risks which cannot be hedged away completely. Topics include martingale measures, pricing formulas for derivatives, American options, superhedging, and hedging strategies with minimal shortfall risk.

In addition to many corrections and improvements, this second edition contains several new sections, including a systematic discussion of law-invariant risk measures and of the connections between American options, superhedging, and dynamic risk measures.

Über diesen Titel

Über die Autorin bzw. den Autor

Hans Föllmer is Professor for Mathematics at the Humboldt University in Berlin, Germany.

Alexander Schied is Professor at the Institute for Mathematics of the Technical University Berlin, Germany.

Details zur Ausgabe

• Verlag: De Gruyter
• Erscheinungsdatum: 2004
• Sprache: Englisch
• ISBN 10: 3110183463
• ISBN 13: 9783110183467
• Einband: Gebundene Ausgabe
• Anzahl der Seiten: 470
• Kontakt zum Hersteller: productsafety@degruyterbrill.com; productsafety@degruyterbrill.com; ; Theaterstraße 13; Göttingen; 37073; Deutschland