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

• Superior document: Title is part of eBook package: De Gruyter DG Studies in Mathematics eBook-Package
• VerfasserIn: Föllmer, Hans,; Schied, Alexander,
• Place / Publishing House: Berlin ;, Boston : : De Gruyter, , [2008]; ©2004
• Year of Publication: 2008
• Edition: 2nd rev. and extend. ed. Reprint 2020
• Language: English
• Series: De Gruyter Studies in Mathematics , 27
• Physical Description: 1 online resource (459 p.)
• Other title: Frontmatter --; Preface to the second edition --; Preface to the first edition --; Contents --; Part I. Mathematical finance in one period --; Chapter 1. Arbitrage theory --; Chapter 2. Preferences --; Chapter 3. Optimality and equilibrium --; Chapter 4. Monetary measures of risk --; Part II. Dynamic hedging --; 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 --; Appendix --; Notes --; Bibliography --; List of symbols --; Index
• Format: Mode of access: Internet via World Wide Web.
• ISBN: 9783110212075; 9783110494938; 9783110637205; 9783110212129; 9783110212136; 9783110209082
• ISSN: 0179-0986
• DOI: 10.1515/9783110212075
• Access: restricted access
• Hierarchical level: Monograph
• Statement of Responsibility: Hans Föllmer, Alexander Schied.

Das Buch ist eine Einführung in die Finanzmathematik. Der erste Teil des Buchs untersucht ein einfaches einperiodiges Modell, das als Grundlage für spätere Entwicklungen dient. Im zweiten Teil wird die Idee des dynamischen Hedgings von Eventualforderungen in einem mehrperiodigen Rahmen entwickelt. 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.