Stochastic Finance

An Introduction in Discrete Time
2. revidierte and extend. Auflage Nachdruck 2020
ISBN: 978-3-11-018346-7
Verlag: De Gruyter

Buch, Englisch, Band 27, 459 Seiten, HC runder Rücken kaschiert, Format (B × H): 175 mm x 246 mm, Gewicht: 973 g

Reihe: ISSN

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.

Autoren/Hrsg.

Schied, Alexander

Föllmer, Hans

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle

Inhaltsverzeichnis

Frontmatter
Contents
Chapter 1. Arbitrage theory
Chapter 2. Preferences
Chapter 3. Optimality and equilibrium
Chapter 4. Monetary measures of risk
Chapter 5. Dynamic arbitrage theory
Chapter 6. American contingent claims
Chapter 7. Superhedging
Chapter 8. Efficient hedging
Chapter 9. Hedging under constraints
Chapter 10. Minimizing the hedging error
Backmatter

Über Autor(innen)

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

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

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.