Stochastic Finance An Introduction in Discrete Time 4th edition by Hans Föllmer, Alexander Schied – Ebook PDF Instant Download/Delivery: 311046344X , 978-3110463446
Full download Stochastic Finance An Introduction in Discrete Time 4th edition after payment
Product details:
ISBN 10: 311046344X
ISBN 13: 978-3110463446
Author: 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 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 fourth, newly revised edition contains more than one hundred exercises. It also includes material on risk measures and the related issue of model uncertainty, in particular a chapter on dynamic risk measures and sections on robust utility maximization and on efficient hedging with convex risk measures.
Stochastic Finance An Introduction in Discrete Time 4th Table of contents:
Part I: Mathematical finance in one period
Arbitrage theory
Preferences
Optimality and equilibrium
Monetary measures of risk
Part II: Dynamic hedging
Dynamic arbitrage theory
American contingent claims
Superhedging
Efficient hedging
Hedging under constraints
Minimizing the hedging error
Dynamic risk measures
People also search for Stochastic Finance An Introduction in Discrete Time 4th:
stochastic finance an introduction with market examples
stochastic finance an introduction with market examples pdf
stochastic finance an introduction with market examples nicolas privault
an introduction to stochastic calculus with applications to finance
stochastic examples
Tags: Hans Föllmer, Alexander Schied, Stochastic Finance, Discrete Time