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Stochastic Finance : An Introduction in Discrete Time

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Title: Stochastic Finance : An Introduction in Discrete Time
Description: 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. Contents:Part I: Mathematical finance in one periodArbitrage theoryPreferencesOptimality and equilibriumMonetary measures of riskPart II: Dynamic hedgingDynamic arbitrage theoryAmerican contingent claimsSuperhedgingEfficient hedgingHedging under constraintsMinimizing the hedging errorDynamic risk measures
Authors: Hans Föllmer, Alexander Schied
Resource Type: eBook.
Subjects: Probabilities, Finance--Statistical methods, Stochastic analysis
Categories: MATHEMATICS / Probability & Statistics / General, BUSINESS & ECONOMICS / Business Mathematics, MATHEMATICS / Applied
Database: eBook Collection (EBSCOhost)
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An: 1294835
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  Data: Stochastic Finance : An Introduction in Discrete Time
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  Data: 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. Contents:Part I: Mathematical finance in one periodArbitrage theoryPreferencesOptimality and equilibriumMonetary measures of riskPart II: Dynamic hedgingDynamic arbitrage theoryAmerican contingent claimsSuperhedgingEfficient hedgingHedging under constraintsMinimizing the hedging errorDynamic risk measures
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      – Code: 332.01519232
        Scheme: ddc
        Type: prePub
    Languages:
      – Code: eng
        Text: English
    Subjects:
      – SubjectFull: Probabilities
        Type: general
      – SubjectFull: Finance--Statistical methods
        Type: general
      – SubjectFull: Stochastic analysis
        Type: general
    Titles:
      – TitleFull: Stochastic Finance : An Introduction in Discrete Time
        Type: main
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          Name:
            NameFull: Hans Föllmer
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            NameFull: Alexander Schied
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          Name:
            NameFull: Hans Föllmer
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            NameFull: Alexander Schied
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          Dates:
            – D: 01
              M: 01
              Type: published
              Y: 2016
            – D: 25
              M: 12
              Type: profile
              Y: 2018
          Identifiers:
            – Type: isbn-print
              Value: 9783110463446
            – Type: isbn-electronic
              Value: 9783110463460
            – Type: isbn-electronic
              Value: 9783110463453
          Titles:
            – TitleFull: Stochastic Finance : An Introduction in Discrete Time
              Type: main
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