ENGLISH

Stochastic Finance: An Introduction In Discrete Time

By Hans Follmer , Alexander Schied

Book information

Publisher
Walter de Gruyter
Year
2004
ISBN
9783110183467, 3110183463, 9783110212075
LCC
HG176.5 .F65 2004
Open Library ID
OL3296930M
Language
english
Format
PDF
Filesize
2 MB (2455599 bytes)
Series
De Gruyter Studies in Mathematics
Edition
2 Rev Enl
Pages
474\474
Library
Kolxo3
Time added
2009-12-04 00:34:26

Description

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.

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