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Autor(en): 
  • Hans Föllmer
  • Alexander Schied
  • Stochastic Finance: An Introduction in Discrete Time 
     

    (Buch)
    Dieser Artikel gilt, aufgrund seiner Grösse, beim Versand als 3 Artikel!


    Übersicht
     
    Lieferstatus:   i.d.R. innert 4-7 Tagen versandfertig
    Veröffentlichung:  Juli 2016  
    Genre:  Schulbücher 
    ISBN:  9783110463446 
    EAN-Code: 
    9783110463446 
    Verlag:  Gruyter, Walter de GmbH 
    Einband:  Kartoniert  
    Sprache:  English  
    Dimensionen:  H 241 mm / B 175 mm / D 32 mm 
    Gewicht:  1019 gr 
    Seiten:  596 
    Illustration:  15 Schwarz-Weiß- Abbildungen 
    Bewertung: Titel bewerten / Meinung schreiben
    Inhalt:
    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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