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Stochastic Finance: An Introduction in Discrete Time: 27 (De Gruyter Studies in Mathematics, 27) - Hardcover
Synopsis
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.
"synopsis" may belong to another edition of this title.
About the Author
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.
"About this title" may belong to another edition of this title.
- PublisherDe Gruyter
- Publication date2004
- ISBN 10 3110183463
- ISBN 13 9783110183467
- BindingHardcover
- LanguageEnglish
- Number of pages470
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Stochastic Finance : An Introduction in Discrete Time
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ISBN 10: 3110183463
ISBN 13: 9783110183467
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Buch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 472 pp. Englisch. Seller Inventory # 9783110183467
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Buch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Seller Inventory # 9783110183467
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