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Sinossi
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.
Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.
Informazioni sull?autore
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.
Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.
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Stochastic Finance : An Introduction in Discrete Time
Editore:
Gruyter, Walter de GmbH, 2004
ISBN 10: 3110183463
ISBN 13: 9783110183467
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Stochastic Finance
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Condizione: very good. couverture cartonnée, moyen format , très bon état. Second edition. 2642934 - Stochastic Finance, Föllmer, Hans, De Gruyter, 2004. Codice articolo 2642934
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Stochastic Finance
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Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. The series is devoted to the publication of monographs and high-level textbooks in mathematics, mathematical methods and their applications. Apart from covering important areas of current interest, a major aim is to make topics of an interdisciplinary na. Codice articolo 579944683
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Stochastic Finance
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De Gruyter, De Gruyter Saur Nov 2004, 2004
ISBN 10: 3110183463
ISBN 13: 9783110183467
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Buch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 472 pp. Englisch. Codice articolo 9783110183467
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Stochastic Finance: An Introduction in Discrete Time (De Gruyter Studies in Mathematics, 27)
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Buch. Condizione: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Codice articolo 9783110183467
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Stochastic Finance An Introduction in Discrete Time De Gruyter Studies in Mathematics De Gruyter Studies in Mathematics, 27
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