Items related to Stochastic Finance: An Introduction in Discrete Time...
Synopsis
This book is an introduction to financial mathematics. It is intended for graduate students in mathematics and for researchers working in academia and industry.The focus on stochastic models in discrete time has two immediate benefits. First, the probabilistic machinery is simpler, and one can discuss right away some of the key problems in the theory of pricing and hedging of financial derivatives. Second, the paradigm of a complete financial market, where all derivatives admit a perfect hedge, becomes the exception rather than the rule. Thus, the need to confront the intrinsic risks arising from market incomleteness appears at a very early stage.The first part of the book contains a study of a simple one-period model, which also 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 financial risk.In the second part, the idea of dynamic hedging of contingent claims is developed in a multiperiod framework. Topics include martingale measures, pricing formulas for derivatives, American options, superhedging, and hedging strategies with minimal shortfall risk.This fourth, newly revised edition contains more than one hundred exercises. It also includes material on risk measures and the related issue of model uncertainty, in particular a chapter on dynamic risk measures and sections on robust utility maximization and on efficient hedging with convex risk measures. Contents:Part I: Mathematical finance in one periodArbitrage theoryPreferencesOptimality and equilibriumMonetary measures of riskPart II: Dynamic hedgingDynamic arbitrage theoryAmerican contingent claimsSuperhedgingEfficient hedgingHedging under constraintsMinimizing the hedging errorDynamic risk measures
"synopsis" may belong to another edition of this title.
About the Author
Hans Föllmer, Humboldt-Universität zu Berlin, Germany; Alexander Schied, University of Mannheim, Germany.
"About this title" may belong to another edition of this title.
Search results for Stochastic Finance: An Introduction in Discrete Time...
Stock Image
Stochastic Finance: An Introduction in Discrete Time (De Gruyter Textbook)
Seller: medimops, Berlin, Germany
Seller rating 5 out of 5 stars
Condition: very good. Gut/Very good: Buch bzw. Schutzumschlag mit wenigen Gebrauchsspuren an Einband, Schutzumschlag oder Seiten. / Describes a book or dust jacket that does show some signs of wear on either the binding, dust jacket or pages. Seller Inventory # M0311046344X-V
Quantity: 1 available
Seller Image
Stochastic Finance : An Introduction in Discrete Time
Seller: GreatBookPricesUK, Woodford Green, United Kingdom
Seller rating 5 out of 5 stars
Condition: New. Seller Inventory # 26968950-n
Quantity: Over 20 available
Stock Image
Stochastic Finance
Seller: Chiron Media, Wallingford, United Kingdom
Seller rating 4 out of 5 stars
PF. Condition: New. Seller Inventory # 6666-IUK-9783110463446
Quantity: 10 available
Stock Image
Stochastic Finance: An Introduction in Discrete Time (De Gruyter Textbook)
Seller: Ria Christie Collections, Uxbridge, United Kingdom
Seller rating 5 out of 5 stars
Condition: New. In. Seller Inventory # ria9783110463446_new
Quantity: Over 20 available
Stock Image
Stochastic Finance An Introduction in Discrete Time De Gruyter Textbook
Print on DemandSeller: PBShop.store UK, Fairford, GLOS, United Kingdom
Seller rating 5 out of 5 stars
PAP. Condition: New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Seller Inventory # L0-9783110463446
Quantity: Over 20 available
Seller Image
Stochastic Finance : An Introduction in Discrete Time
Seller: GreatBookPricesUK, Woodford Green, United Kingdom
Seller rating 5 out of 5 stars
Condition: As New. Unread book in perfect condition. Seller Inventory # 26968950
Quantity: Over 20 available
Stock Image
Stochastic Finance
Print on DemandSeller: PBShop.store US, Wood Dale, IL, U.S.A.
Seller rating 5 out of 5 stars
PAP. Condition: New. New Book. Shipped from UK. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Seller Inventory # L0-9783110463446
Quantity: Over 20 available
Seller Image
Stochastic Finance
Seller: Rarewaves USA United, OSWEGO, IL, U.S.A.
Seller rating 5 out of 5 stars
Paperback. Condition: New. 4th rev. ed. This book is an introduction to financial mathematics. It is intended for graduate students in mathematics and for researchers working in academia and industry.The focus on stochastic models in discrete time has two immediate benefits. First, the probabilistic machinery is simpler, and one can discuss right away some of the key problems in the theory of pricing and hedging of financial derivatives. Second, the paradigm of a complete financial market, where all derivatives admit a perfect hedge, becomes the exception rather than the rule. Thus, the need to confront the intrinsic risks arising from market incomleteness appears at a very early stage.The first part of the book contains a study of a simple one-period model, which also 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 financial risk.In the second part, the idea of dynamic hedging of contingent claims is developed in a multiperiod framework. Topics include martingale measures, pricing formulas for derivatives, American options, superhedging, and hedging strategies with minimal shortfall risk.This fourth, newly revised edition contains more than one hundred exercises. It also includes material on risk measures and the related issue of model uncertainty, in particular a chapter on dynamic risk measures and sections on robust utility maximization and on efficient hedging with convex risk measures. Contents:Part I: Mathematical finance in one periodArbitrage theoryPreferencesOptimality and equilibriumMonetary measures of riskPart II: Dynamic hedgingDynamic arbitrage theoryAmerican contingent claimsSuperhedgingEfficient hedgingHedging under constraintsMinimizing the hedging errorDynamic risk measures. Seller Inventory # LU-9783110463446
Quantity: Over 20 available
Stock Image
Stochastic Finance: An Introduction in Discrete Time (De Gruyter Textbook)
Seller: California Books, Miami, FL, U.S.A.
Seller rating 5 out of 5 stars
Condition: New. Seller Inventory # I-9783110463446
Quantity: Over 20 available
Seller Image
Stochastic Finance : An Introduction in Discrete Time
Seller: GreatBookPrices, Columbia, MD, U.S.A.
Seller rating 5 out of 5 stars
Condition: New. Seller Inventory # 26968950-n
Quantity: Over 20 available