Stochastic finance: an introduction in discrete time
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Berlin ; Boston
De Gruyter
[2016]
|
| Ausgabe: | Fourth revised and extended edition |
| Schriftenreihe: | De Gruyter graduate
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xii, 596 Seiten Diagramme |
| ISBN: | 9783110463446 |
Internformat
MARC
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| 100 | 1 | |a Föllmer, Hans |d 1941- |e Verfasser |0 (DE-588)106315323 |4 aut | |
| 245 | 1 | 0 | |a Stochastic finance |b an introduction in discrete time |c Hans Föllmer, Alexander Schied |
| 250 | |a Fourth revised and extended edition | ||
| 264 | 1 | |a Berlin ; Boston |b De Gruyter |c [2016] | |
| 264 | 4 | |c © 2016 | |
| 300 | |a xii, 596 Seiten |b Diagramme | ||
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| 338 | |b nc |2 rdacarrier | ||
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Datensatz im Suchindex
| _version_ | 1804176347025637376 |
|---|---|
| adam_text | CONTENTS
PREFACE TO THE FOURTH EDITION * V
PREFACE TO THE THIRD EDITION* VI
PREFACE TO THE SECOND EDITION * VII
PREFACE TO THE FIRST EDITION * VILI
PART I:
MATHEMATICAL FINANCE IN ONE PERIOD
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 * 18
1.4 COMPLETE MARKET MODELS * 29
1.5 GEOMETRIE CHARACTERIZATION OF ARBITRAGE-FREE MODELS * 35
1.6 CONTINGENT INITIAL DATA * 41
2 PREFERENCES * 56
2.1 PREFERENCE RELATIONS AND THEIR NUMERICAL REPRESENTATION *
2.2 VON NEUMANN-MORGENSTERN REPRESENTATION * 63
2.3 EXPECTED UTILITY * 74
2.4 STOCHASTIC DOMINANCE * 92
2.5 ROBUST PREFERENCES ON ASSET PROFILES * 105
2.6 PROBABILITY MEASURES WITH GIVEN MARGINALS * 124
3 OPTIMALLTY AND EQUILLBRIUM * 134
3.1 PORTFOLIO OPTIMIZATION AND THE ABSENCE OF ARBITRAGE * 134
3.2 EXPONENTIAL UTILITY AND RELATIVE ENTROPY * 143
3.3 OPTIMAL CONTINGENT CLAIMS * 154
3.4 OPTIMAL PAYOFF PROFILES FOR UNIFORM PREFERENCES * 164
3.5 ROBUST UTILITY MAXIMIZATION * 168
3.6 MICROECONOMIC EQUILIBRIUM * 176
4 MONETARY MEASURES OF RISK * 194
4.1 RISK MEASURES AND THEIR ACCEPTANCE SETS * 195
4.2 ROBUST REPRESENTATION OF CONVEX RISK MEASURES * 206
4.3 CONVEX RISK MEASURES ON
L
* 221
4.4 VALUE AT RISK * 230
4.5 LAW-INVARIANT RISK MEASURES * 239
4.6 CONCAVE DISTORTIONS * 245
4.7 COMONOTONIC RISK MEASURES * 255
4.8 MEASURES OF RISK IN A FINANCIAL MARKET * 264
4.9 UTILITY-BASED SHORTFALL RISK AND DIVERGENCE RISK MEASURES * 276
PART
II: DYNAMIC HEDGING
5 DYNAMIC ARBITRAGE THEORY * 291
5.1
THE MULTI-PERIOD MARKET MODEL * 291
5.2 ARBITRAGE OPPORTUNITIES AND MARTINGALE MEASURES * 296
5.3
EUROPEAN CONTINGENT
CLAIMS
* 305
5.4
COMPLETE MARKETS * 319
5.5 THE BINOMIAL MODEL * 323
5.6 EXOTIC DERIVATIVES * 330
5.7
CONVERGENCE TO THE BLACK-SCHOLES PRICE * 336
6 AMERICAN CONTINGENT CLAIMS * 357
6.1 HEDGING STRATEGIES FOR THE SELLER * 357
6.2 STOPPING STRATEGIES FOR THE BUYER * 363
6.3
ARBITRAGE-FREE PRICES * 375
6.4
STABILITY UNDER PASTING * 381
6.5 LOWER AND UPPER SNELL ENVELOPES * 387
7 SUPERHEDGING * 394
7.1 ^-SUPERMARTINGALES * 394
7.2
UNIFORM DOOB DECOMPOSITION * 396
7.3
SUPERHEDGING OF AMERICAN AND EUROPEAN CLAIMS * 399
7.4
SUPERHEDGING WITH LIQUID OPTIONS * 409
8 EFFICIENT HEDGING * 422
8.1 QUANTILE HEDGING * 422
8.2
HEDGING WITH MINIMAL SHORTFALL RISK * 429
8.3
EFFICIENT HEDGING WITH CONVEX RISK MEASURES * 440
9 HEDGING UNDER CONSTRAINTS * 449
9.1
ABSENCE OF ARBITRAGE OPPORTUNITIES * 449
9.2
UNIFORM DOOB DECOMPOSITION * 459
9.3 UPPER SNELL ENVELOPES * 465
9.4
SUPERHEDGING AND RISK MEASURES * 471
10 MINIMIZING THE HEDGING ERROR * 475
10.1 LOCAL QUADRATIC RISK * 475
10.2 MINIMAL MARTINGALE MEASURES * 486
10.3 VARIANCE-OPTIMAL HEDGING * 498
11 DYNAMIC RISK MEASURES * 506
11.1 CONDITIONAL RISK MEASURES AND THEIR ROBUST REPRESENTATION * 506
11.2 TIME CONSISTENCY * 516
APPENDIX * 527
A .L CONVEXITY * 527
A.2 ABSOLUTELY CONTINUOUS PROBABILITY MEASURES * 534
A.3 QUANTILE FUNCTIONS * 538
A.4 THE NEYMAN-PEARSON LEMMA * 550
A. 5 THE ESSENTIAL SUPREMUM OF A FAMILY OF RANDOM VARIABLES * 552
A.6 SPACES OF MEASURES * 554
A.7 SOME FUNCTIONAL ANALYSIS * 564
BIBLIOGRAPHICAL NOTES * 570
REFERENCES * 576
LIST OF SYMBOLS * 587
INDEX * 588
|
| any_adam_object | 1 |
| author | Föllmer, Hans 1941- Schied, Alexander |
| author_GND | (DE-588)106315323 (DE-588)1017469970 |
| author_facet | Föllmer, Hans 1941- Schied, Alexander |
| author_role | aut aut |
| author_sort | Föllmer, Hans 1941- |
| author_variant | h f hf a s as |
| building | Verbundindex |
| bvnumber | BV043602436 |
| classification_rvk | QK 800 QP 890 SK 980 |
| classification_tum | MAT 606f MAT 600f WIR 160f WIR 522f |
| ctrlnum | (OCoLC)954423731 (DE-599)BVBBV043602436 |
| dewey-full | 332/.01/51923221 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332/.01/519232 21 |
| dewey-search | 332/.01/519232 21 |
| dewey-sort | 3332 11 6519232 221 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | Fourth revised and extended edition |
| format | Book |
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| id | DE-604.BV043602436 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:30:44Z |
| institution | BVB |
| isbn | 9783110463446 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029016586 |
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| physical | xii, 596 Seiten Diagramme |
| publishDate | 2016 |
| publishDateSearch | 2016 |
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| publisher | De Gruyter |
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| series2 | De Gruyter graduate |
| spelling | Föllmer, Hans 1941- Verfasser (DE-588)106315323 aut Stochastic finance an introduction in discrete time Hans Föllmer, Alexander Schied Fourth revised and extended edition Berlin ; Boston De Gruyter [2016] © 2016 xii, 596 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier De Gruyter graduate Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Finanzmathematik (DE-588)4017195-4 s Stochastisches Modell (DE-588)4057633-4 s DE-604 Schied, Alexander Verfasser (DE-588)1017469970 aut Erscheint auch als Online-Ausgabe, EPUB 978-3-11-046346-0 Erscheint auch als Online-Ausgabe, PDF 978-3-11-046345-3 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029016586&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Föllmer, Hans 1941- Schied, Alexander Stochastic finance an introduction in discrete time 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)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 | Stochastisches Modell (DE-588)4057633-4 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Stochastisches Modell Finanzmathematik Lehrbuch |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029016586&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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