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Stochastic Finance : An Introduction in Discrete Time / Hans Föllmer, Alexander Schied

By: Contributor(s): Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: De Gruyter eBook-Paket Mathematik | De Gruyter Textbook | De Gruyter textbook | De Gruyter graduatePublisher: Berlin ; Boston : De Gruyter, [2016]Copyright date: ©2016Edition: Fourth revised and extended editionDescription: 1 Online-Ressource (xii, 596 Seiten) : IllustrationenISBN:
  • 9783110463453
  • 9783110463460
Subject(s): Additional physical formats: 9783110463446 | Erscheint auch als: Stochastic finance. Druck-Ausgabe Fourth revised and extended edition. Berlin : De Gruyter, 2016. xii, 596 SeitenDDC classification:
  • 510
  • 332/.01/519232 21
MSC: MSC: *91-01 | 91G20 | 91B30 | 91G10 | 91G80 | 60G40 | 60G42 | 60H30RVK: RVK: QK 800 | QH 237 | QP 890 | SK 980DOI: DOI: 10.1515/9783110463453Online resources:
Contents:
Frontmatter -- -- Preface to the fourth edition -- -- Preface to the third edition -- -- Preface to the second edition -- -- Preface to the first edition -- -- Contents -- -- Part I: Mathematical finance in one period -- -- 1. Arbitrage theory -- -- 2. Preferences -- -- 3. Optimality and equilibrium -- -- 4. Monetary measures of risk -- -- Part II: Dynamic hedging -- -- 5. Dynamic arbitrage theory -- -- 6. American contingent claims -- -- 7. Superhedging -- -- 8. Efficient hedging -- -- 9. Hedging under constraints -- -- 10. Minimizing the hedging error -- -- 11. Dynamic risk measures -- -- Appendix -- -- Bibliographical notes -- -- References -- -- List of symbols -- -- Index
Summary: This is the fourth, newly revised edition of the classical introduction to the mathematics of finance, based on stochastic models in discrete time. In the first part of the book simple one-period models are studied, in the second the idea of dynamic hedging of contingent claims is developed in a multiperiod framework.PPN: PPN: 86621707XPackage identifier: Produktsigel: EBA-BACKALL | EBA-CL-LAEC | EBA-CL-MTPY | EBA-DGALL | EBA-EBACKALL | EBA-EBKALL | EBA-ECL-LAEC | EBA-ECL-MTPY | EBA-EEBKALL | EBA-ESSHALL | EBA-ESTMALL | EBA-SSHALL | EBA-STMALL | GBV-23-DGG-HSU | GBV-deGruyter-alles | ZDB-23-DGG | ZDB-23-DMA | BSZ-23-DGG-Sachsen | BSZ-23-EBA-C1UB
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