Holdings: Stochastic finance :: THWS Bibkatalog

Stochastic finance: an introduction in discrete time

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Bibliographic Details
Main Authors:	Föllmer, Hans 1941- (Author), Schied, Alexander (Author)
Format:	Book
Language:	English
Published:	Berlin [u.a.] De Gruyter 2011
Edition:	3. rev. and extended ed.
Series:	De Gruyter graduate
Subjects:	Finance > Statistical methods Stochastic analysis Probabilities Stochastisches Modell Finanzmathematik Einführung Lehrbuch
Online Access:	Inhaltsverzeichnis
Item Description:	"The first and the second edition of "Stochastic Finance" were published in the series "De Gruyter Studies in Mathematics"
Physical Description:	XI, 544 S. graph. Darst.
ISBN:	9783110218046

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MARC


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Record in the Search Index

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adam_text	IMAGE 1 CONTENTS PREFACE TO THE THIRD EDITION V PREFACE TO THE SECOND EDITION VI PREFACE TO THE FIRST EDITION VII I MATHEMATICAL FINANCE IN ONE PERIOD 1 1 ARBITRAGE THEORY 3 1 . 1 ASSETS, PORTFOLIOS, AND ARBITRAGE OPPORTUNITIES 3 1.2 ABSENCE OF ARBITRAGE AND MARTINGALE MEASURES 7 1.3 DERIVATIVE SECURITIES 16 1.4 COMPLETE MARKET MODELS 27 1.5 GEOMETRIC CHARACTERIZATION OF ARBITRAGE-FREE MODELS 33 1.6 CONTINGENT INITIAL DATA 37 2 PREFERENCES 50 2.1 PREFERENCE RELATIONS AND THEIR NUMERICAL REPRESENTATION 51 2.2 VON NEUMANN-MORGENSTERN REPRESENTATION 57 2.3 EXPECTED UTILITY 67 2.4 UNIFORM PREFERENCES 83 2.5 ROBUST PREFERENCES ON ASSET PROFILES 94 2.6 PROBABILITY MEASURES WITH GIVEN MARGINALS 113 3 OPTIMALITY AND EQUILIBRIUM 121 3.1 PORTFOLIO OPTIMIZATION AND THE ABSENCE OF ARBITRAGE 121 3.2 EXPONENTIAL UTILITY AND RELATIVE ENTROPY 130 3.3 OPTIMAL CONTINGENT CLAIMS 139 3.4 OPTIMAL PAYOFF PROFILES FOR UNIFORM PREFERENCES 148 3.5 ROBUST UTILITY MAXIMIZATION 151 3.6 MICROECONOMIC EQUILIBRIUM 159 4 MONETARY MEASURES OF RISK 175 4.1 RISK MEASURES AND THEIR ACCEPTANCE SETS 176 4.2 ROBUST REPRESENTATION OF CONVEX RISK MEASURES 186 4.3 CONVEX RISK MEASURES ON L 199 BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/100931212X DIGITALISIERT DURCH IMAGE 2 CONTENTS 4.4 VALUE AT RISK 207 4.5 LAW-INVARIANT RISK MEASURES 213 4.6 CONCAVE DISTORTIONS 219 4.7 COMONOTONIC RISK MEASURES 228 4.8 MEASURES OF RISK IN A FINANCIAL MARKET 236 4.9 UTILITY-BASED SHORTFALL RISK AND DIVERGENCE RISK MEASURES 246 II DYNAMIC HEDGING 259 5 DYNAMIC ARBITRAGE THEORY 261 5.1 THE MULTI-PERIOD MARKET MODEL 261 5.2 ARBITRAGE OPPORTUNITIES AND MARTINGALE MEASURES 266 5.3 EUROPEAN CONTINGENT CLAIMS 274 5.4 COMPLETE MARKETS 287 5.5 THE BINOMIAL MODEL 290 5.6 EXOTIC DERIVATIVES 296 5.7 CONVERGENCE TO THE BLACK-SCHOLES PRICE 302 6 AMERICAN CONTINGENT CLAIMS 321 6.1 HEDGING STRATEGIES FOR THE SELLER 321 6.2 STOPPING STRATEGIES FOR THE BUYER 327 6.3 ARBITRAGE-FREE PRICES 337 6.4 STABILITY UNDER PASTING 342 6.5 LOWER AND UPPER SNELL ENVELOPES 347 7 SUPERHEDGING 354 7.1 ^P-SUPERMARTINGALES 354 7.2 UNIFORM DOOB DECOMPOSITION 356 7.3 SUPERHEDGING OF AMERICAN AND EUROPEAN CLAIMS 359 7.4 SUPERHEDGING WITH LIQUID OPTIONS 368 8 EFFICIENT HEDGING 380 8.1 QUANTILE HEDGING 380 8.2 HEDGING WITH MINIMAL SHORTFALL RISK 387 8.3 EFFICIENT HEDGING WITH CONVEX RISK MEASURES 396 9 HEDGING UNDER CONSTRAINTS 404 9.1 ABSENCE OF ARBITRAGE OPPORTUNITIES 404 9.2 UNIFORM DOOB DECOMPOSITION 412 9.3 UPPER SNELL ENVELOPES 417 9.4 SUPERHEDGING AND RISK MEASURES 424 IMAGE 3 CONTENTS XI 10 MINIMIZING THE HEDGING ERROR 428 10.1 LOCAL QUADRATIC RISK 428 10.2 MINIMAL MARTINGALE MEASURES 438 10.3 VARIANCE-OPTIMAL HEDGING 449 11 DYNAMIC RISK MEASURES 456 11.1 CONDITIONAL RISK MEASURES AND THEIR ROBUST REPRESENTATION 456 11.2 TIME CONSISTENCY 465 APPENDIX 476 A.I CONVEXITY 476 A.2 ABSOLUTELY CONTINUOUS PROBABILITY MEASURES 480 A.3 QUANTILE FUNCTIONS 484 A.4 THE NEYMAN-PEARSON LEMMA 493 A.5 THE ESSENTIAL SUPREMUM OF A FAMILY OF RANDOM VARIABLES 496 A.6 SPACES OF MEASURES 497 A.7 SOME FUNCTIONAL ANALYSIS 507 NOTES 512 BIBLIOGRAPHY 517 LIST OF SYMBOLS 533 INDEX 535
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author	Föllmer, Hans 1941- Schied, Alexander
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dewey-tens	330 - Economics
discipline	Mathematik Wirtschaftswissenschaften
edition	3. rev. and extended ed.
format	Book
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spelling	Föllmer, Hans 1941- Verfasser (DE-588)106315323 aut Stochastic finance an introduction in discrete time Hans Föllmer ; Alexander Schied 3. rev. and extended ed. Berlin [u.a.] De Gruyter 2011 XI, 544 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier De Gruyter graduate "The first and the second edition of "Stochastic Finance" were published in the series "De Gruyter Studies in Mathematics" Finance -- Statistical methods Stochastic analysis Probabilities Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf 1\p (DE-588)4151278-9 Einführung gnd-content 2\p (DE-588)4123623-3 Lehrbuch gnd-content Finanzmathematik (DE-588)4017195-4 s Stochastisches Modell (DE-588)4057633-4 s DE-188 Schied, Alexander Verfasser (DE-588)1017469970 aut Erscheint auch als Online-Ausgabe 978-3-11-021805-3 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018705680&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk
spellingShingle	Föllmer, Hans 1941- Schied, Alexander Stochastic finance an introduction in discrete time Finance -- Statistical methods Stochastic analysis Probabilities Stochastisches Modell (DE-588)4057633-4 gnd Finanzmathematik (DE-588)4017195-4 gnd
subject_GND	(DE-588)4057633-4 (DE-588)4017195-4 (DE-588)4151278-9 (DE-588)4123623-3
title	Stochastic finance an introduction in discrete time
title_auth	Stochastic finance an introduction in discrete time
title_exact_search	Stochastic finance an introduction in discrete time
title_full	Stochastic finance an introduction in discrete time Hans Föllmer ; Alexander Schied
title_fullStr	Stochastic finance an introduction in discrete time Hans Föllmer ; Alexander Schied
title_full_unstemmed	Stochastic finance an introduction in discrete time Hans Föllmer ; Alexander Schied
title_short	Stochastic finance
title_sort	stochastic finance an introduction in discrete time
title_sub	an introduction in discrete time
topic	Finance -- Statistical methods Stochastic analysis Probabilities Stochastisches Modell (DE-588)4057633-4 gnd Finanzmathematik (DE-588)4017195-4 gnd
topic_facet	Finance -- Statistical methods Stochastic analysis Probabilities Stochastisches Modell Finanzmathematik Einführung Lehrbuch
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018705680&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT follmerhans stochasticfinanceanintroductionindiscretetime AT schiedalexander stochasticfinanceanintroductionindiscretetime

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