Stochastic Finance: An Introduction in Discrete Time
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 disc...
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| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin ; Boston
De Gruyter
[2011]
|
| Ausgabe: | 3rd rev. and extend. ed |
| Schriftenreihe: | De Gruyter Textbook
|
| Schlagworte: | |
| Online-Zugang: | UBY01 UBT01 UBM01 Volltext |
| Zusammenfassung: | 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 third revised and extended edition now contains more than one hundred exercises. It also includes new material on risk measures and the related issue of model uncertainty, in particular a new chapter on dynamic risk measures and new sections on robust utility maximization and on efficient hedging with convex risk measures |
| Beschreibung: | Description based on online resource; title from PDF title page (publisher's Web site, viewed 23. Nov 2018) |
| Beschreibung: | 1 online resource (555 pages) |
| ISBN: | 9783110218053 |
| DOI: | 10.1515/9783110218053 |
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| 520 | |a 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 third revised and extended edition now contains more than one hundred exercises. It also includes new material on risk measures and the related issue of model uncertainty, in particular a new chapter on dynamic risk measures and new sections on robust utility maximization and on efficient hedging with convex risk measures | ||
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Datensatz im Suchindex
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| author | Föllmer, Hans Schied, Alexander |
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| dewey-full | 332.015192 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.015192 |
| dewey-search | 332.015192 |
| dewey-sort | 3332.015192 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1515/9783110218053 |
| edition | 3rd rev. and extend. ed |
| format | Electronic eBook |
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| spelling | Föllmer, Hans Verfasser aut Stochastic Finance An Introduction in Discrete Time Hans Föllmer, Alexander Schied 3rd rev. and extend. ed Berlin ; Boston De Gruyter [2011] © 2011 1 online resource (555 pages) txt rdacontent c rdamedia cr rdacarrier De Gruyter Textbook Description based on online resource; title from PDF title page (publisher's Web site, viewed 23. Nov 2018) 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 third revised and extended edition now contains more than one hundred exercises. It also includes new material on risk measures and the related issue of model uncertainty, in particular a new chapter on dynamic risk measures and new sections on robust utility maximization and on efficient hedging with convex risk measures In English Arbitrage Theory Arbitragetheorie Discrete Time Finanzmathematik Hedge Fund Hedging Mathematics of Finance Stochastics Stochastik Stochastisches Modell Finance Statistical methods Probabilities Stochastic analysis 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 3\p DE-604 Schied, Alexander aut Erscheint auch als Druck-Ausgabe 9783110218046 https://doi.org/10.1515/9783110218053 Verlag URL des Erstveröffentlichers Volltext 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 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Föllmer, Hans Schied, Alexander Stochastic Finance An Introduction in Discrete Time Arbitrage Theory Arbitragetheorie Discrete Time Finanzmathematik Hedge Fund Hedging Mathematics of Finance Stochastics Stochastik Stochastisches Modell Finance Statistical methods Probabilities Stochastic analysis 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 | Arbitrage Theory Arbitragetheorie Discrete Time Finanzmathematik Hedge Fund Hedging Mathematics of Finance Stochastics Stochastik Stochastisches Modell Finance Statistical methods Probabilities Stochastic analysis Stochastisches Modell (DE-588)4057633-4 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Arbitrage Theory Arbitragetheorie Discrete Time Finanzmathematik Hedge Fund Hedging Mathematics of Finance Stochastics Stochastik Stochastisches Modell Finance Statistical methods Probabilities Stochastic analysis Einführung Lehrbuch |
| url | https://doi.org/10.1515/9783110218053 |
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