Stochastic Finance: An Introduction in Discrete Time

Hans Föllmer; Alexander Schied

Published by De Gruyter 2004

Stochastic Finance

An Introduction in Discrete Time

Hans Föllmer and Alexander Schied

Volume 27 in the series De Gruyter Studies in Mathematics

https://doi.org/10.1515/9783110212075

Overview
Contents

About this book

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.

Standard refence book for stochastic finance in discrete time
Now with exercises
Suitable for students, researchers and practioneers

Author / Editor information

Hans Föllmer is Professor for Mathematics at the Humboldt University in Berlin, Germany.

Alexander Schied is Professor at the Institute for Mathematics of the Technical University Berlin, Germany.

Topics

Frontmatter Publicly Available Download PDF	I
Preface to the second edition Publicly Available Download PDF	V
Preface to the first edition Publicly Available Download PDF	VII
Contents Publicly Available Download PDF	IX
Part I. Mathematical finance in one period
Chapter 1. Arbitrage theory Requires Authentication Unlicensed Licensed Download PDF	3
Chapter 2. Preferences Requires Authentication Unlicensed Licensed Download PDF	44
Chapter 3. Optimality and equilibrium Requires Authentication Unlicensed Licensed Download PDF	108
Chapter 4. Monetary measures of risk Requires Authentication Unlicensed Licensed Download PDF	152
Part II. Dynamic hedging
Chapter 5. Dynamic arbitrage theory Requires Authentication Unlicensed Licensed Download PDF	223
Chapter 6. American contingent claims Requires Authentication Unlicensed Licensed Download PDF	277
Chapter 7. Superhedging Requires Authentication Unlicensed Licensed Download PDF	308
Chapter 8. Efficient hedging Requires Authentication Unlicensed Licensed Download PDF	333
Chapter 9. Hedging under constraints Requires Authentication Unlicensed Licensed Download PDF	350
Chapter 10. Minimizing the hedging error Requires Authentication Unlicensed Licensed Download PDF	372
Appendix Requires Authentication Unlicensed Licensed Download PDF	399
Notes Requires Authentication Unlicensed Licensed Download PDF	433
Bibliography Requires Authentication Unlicensed Licensed Download PDF	439
List of symbols Requires Authentication Unlicensed Licensed Download PDF	449
Index Requires Authentication Unlicensed Licensed Download PDF	451

(Deutsch)

Language: English
Publisher: De Gruyter
Edition: 2nd rev. and extend. ed. Reprint 2020
Audience: Graduate students in mathematics, researchers working in academia and industry; academic libraries
Pages
- Front matter: 11
- Main content: 459
Keywords: Finanzmathematik; Stochastische Analysis

eBook

Published: December 19, 2008
ISBN: 9783110212075

Hardcover

Published: November 24, 2004
ISBN: 9783110183467