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

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...

Full description

Saved in:
Bibliographic Details
Superior document:Title is part of eBook package: De Gruyter DGBA Backlist Complete English Language 2000-2014 PART1
VerfasserIn:
Place / Publishing House:Berlin ;, Boston : : De Gruyter, , [2011]
©2011
Year of Publication:2011
Edition:3rd rev. and extend. ed.
Language:English
Series:De Gruyter Textbook
Online Access:
Physical Description:1 online resource (544 p.)
Tags: Add Tag
No Tags, Be the first to tag this record!
LEADER 06224nam a22010455i 4500
001 9783110218053
003 DE-B1597
005 20211129102213.0
006 m|||||o||d||||||||
007 cr || ||||||||
008 211129t20112011gw fo d z eng d
020 |a 9783110218053 
024 7 |a 10.1515/9783110218053  |2 doi 
035 |a (DE-B1597)36527 
035 |a (OCoLC)979689244 
040 |a DE-B1597  |b eng  |c DE-B1597  |e rda 
041 0 |a eng 
044 |a gw  |c DE 
050 4 |a HG176.5 .F65 2011 
072 7 |a MAT029000  |2 bisacsh 
082 0 4 |a 332.01  |a 332.01/519232  |a 332.01519232 
084 |a SK 980  |2 rvk  |0 (DE-625)rvk/143277: 
100 1 |a Föllmer, Hans,   |e author.  |4 aut  |4 http://id.loc.gov/vocabulary/relators/aut 
245 1 0 |a Stochastic Finance :  |b An Introduction in Discrete Time /  |c Hans Föllmer, Alexander Schied. 
250 |a 3rd rev. and extend. ed. 
264 1 |a Berlin ;  |a Boston :   |b De Gruyter,   |c [2011] 
264 4 |c ©2011 
300 |a 1 online resource (544 p.) 
336 |a text  |b txt  |2 rdacontent 
337 |a computer  |b c  |2 rdamedia 
338 |a online resource  |b cr  |2 rdacarrier 
347 |a text file  |b PDF  |2 rda 
490 0 |a De Gruyter Textbook 
505 0 0 |t Frontmatter --   |t Preface to the third edition --   |t Preface to the second edition --   |t Preface to the first edition --   |t Contents --   |t I Mathematical finance in one period --   |t 1 Arbitrage theory --   |t 2 Preferences --   |t 3 Optimality and equilibrium --   |t 4 Monetary measures of risk --   |t II Dynamic hedging --   |t 5 Dynamic arbitrage theory --   |t 6 American contingent claims --   |t 7 Superhedging --   |t 8 Efficient hedging --   |t 9 Hedging under constraints --   |t 10 Minimizing the hedging error --   |t 11 Dynamic risk measures --   |t Appendix --   |t Notes --   |t Bibliography --   |t List of symbols --   |t Index 
506 0 |a restricted access  |u http://purl.org/coar/access_right/c_16ec  |f online access with authorization  |2 star 
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. 
538 |a Mode of access: Internet via World Wide Web. 
546 |a In English. 
588 0 |a Description based on online resource; title from PDF title page (publisher's Web site, viewed 29. Nov 2021) 
650 0 |a Finance  |x Statistical methods. 
650 0 |a Probabilities. 
650 0 |a Stochastic analysis. 
650 4 |a Arbitragetheorie. 
650 4 |a Finanzmathematik. 
650 4 |a Hedge Fund. 
650 4 |a Stochastik. 
650 4 |a Stochastisches Modell. 
650 7 |a MATHEMATICS / Probability & Statistics / General.  |2 bisacsh 
653 |a Arbitrage Theory. 
653 |a Discrete Time. 
653 |a Hedging. 
653 |a Mathematics of Finance. 
653 |a Stochastics. 
700 1 |a Schied, Alexander,   |e author.  |4 aut  |4 http://id.loc.gov/vocabulary/relators/aut 
773 0 8 |i Title is part of eBook package:  |d De Gruyter  |t DGBA Backlist Complete English Language 2000-2014 PART1  |z 9783110238570 
773 0 8 |i Title is part of eBook package:  |d De Gruyter  |t DGBA Backlist Mathematics 2000-2014 (EN)  |z 9783110238471 
773 0 8 |i Title is part of eBook package:  |d De Gruyter  |t DGBA Mathematics - 2000 - 2014  |z 9783110637205  |o ZDB-23-GMA 
773 0 8 |i Title is part of eBook package:  |d De Gruyter  |t E-BOOK GESAMTPAKET / COMPLETE PACKAGE 2010  |z 9783110233544  |o ZDB-23-DGG 
773 0 8 |i Title is part of eBook package:  |d De Gruyter  |t E-BOOK PACKAGE ENGLISH LANGUAGES TITLES 2010  |z 9783110233551 
773 0 8 |i Title is part of eBook package:  |d De Gruyter  |t E-BOOK PAKET SCIENCE TECHNOLOGY AND MEDICINE 2010  |z 9783110233636  |o ZDB-23-DMN 
776 0 |c print  |z 9783110218046 
856 4 0 |u https://doi.org/10.1515/9783110218053 
856 4 0 |u https://www.degruyter.com/isbn/9783110218053 
856 4 2 |3 Cover  |u https://www.degruyter.com/document/cover/isbn/9783110218053/original 
912 |a 978-3-11-023355-1 E-BOOK PACKAGE ENGLISH LANGUAGES TITLES 2010  |b 2010 
912 |a 978-3-11-023847-1 DGBA Backlist Mathematics 2000-2014 (EN)  |c 2000  |d 2014 
912 |a 978-3-11-023857-0 DGBA Backlist Complete English Language 2000-2014 PART1  |c 2000  |d 2014 
912 |a EBA_BACKALL 
912 |a EBA_CL_LAEC 
912 |a EBA_CL_MTPY 
912 |a EBA_DGALL 
912 |a EBA_EBACKALL 
912 |a EBA_EBKALL 
912 |a EBA_ECL_LAEC 
912 |a EBA_ECL_MTPY 
912 |a EBA_EEBKALL 
912 |a EBA_ESSHALL 
912 |a EBA_ESTMALL 
912 |a EBA_SSHALL 
912 |a EBA_STMALL 
912 |a GBV-deGruyter-alles 
912 |a PDA11SSHE 
912 |a PDA12STME 
912 |a PDA13ENGE 
912 |a PDA17SSHEE 
912 |a PDA18STMEE 
912 |a PDA5EBK 
912 |a ZDB-23-DGG  |b 2010 
912 |a ZDB-23-DMN  |b 2010 
912 |a ZDB-23-GMA  |c 2000  |d 2014