Stochastic Finance An Introduction in Discrete Time De Gruyter Textbook 3 Hans Föllmer Alexander Schied Kostenlose Bücher Stochastic%20Finance%20An%20Introduction%20in%20Discrete%20Time%20De%20Gruyter%20Textbook%203%20Hans%20F%C3%83%C2%B6llmer%20Alexander%20Schied
MEC
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Kostenlose Bücher Stochastic Finance An Introduction in Discrete Time De Gruyter Textbook 3 Hans Föllmer Alexander Schied MEC
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 third revised and extended edition now contains more than one hundred exercises. It also includes new material on risk measures and the related issue of model uncertainty, in particular a new chapter on dynamic risk measures and new sections on robust utility maximization and on efficient hedging with convex risk measures.
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Stochastic Finance An Introduction in Discrete Time De Gruyter Textbook 3 Hans Föllmer Alexander Schied Reviews :
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 third revised and extended edition now contains more than one hundred exercises. It also includes new material on risk measures and the related issue of model uncertainty, in particular a new chapter on dynamic risk measures and new sections on robust utility maximization and on efficient hedging with convex risk measures.
ebook,Hans Föllmer, Alexander Schied,Stochastic Finance An Introduction in Discrete Time (De Gruyter Textbook),De Gruyter,ANF Mathematics,Applied mathematics,Arbitrage Theory,Arbitragetheorie,BUS091000 BUSINESS ECONOMICS / Business Mathematics,BUSINESS ECONOMICS / Business Mathematics,Business Economics / Finance / General,Business Economics/Business Mathematics,Business Economics/Finance - General,Business mathematics systems,Discrete Mathematics,Discrete Time,Finance,Finance - General,Finance - Statistical methods,Finance;Statistical methods.,Finanzmathematik,Hedge Fund,Hedging,MAT000000 MATHEMATICS / General,MAT003000 MATHEMATICS / Applied,MATHEMATICS / Applied,MATHEMATICS / General,MATHEMATICS / Probability Statistics / General,Mathematics,Mathematics / Discrete Mathematics,Mathematics of Finance,Mathematics/Applied,Mathematik / Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik,Probabilities,Probabilities.,Probability Statistics - General,Probability statistics,Science Mathematics Textbooks Study Guides,Science/Mathematics,Statistical methods,Stochastic analysis,Stochastic analysis.,Stochastics,Stochastics; Mathematics of Finance; Discrete Time; Hedging; Arbitrage Theory,Stochastik,Stochastisches Modell,Stochastisches Modell; Finanzmathematik; Hedge Fund; Stochastik; Arbitragetheorie; Stochastics; Mathematics of Finance; Discrete Time; Hedging; Arbitrage Theory,Trade Discount,Wahrscheinlichkeitsrechnung und Statistik,BUS091000 BUSINESS ECONOMICS / Business Mathematics,Business Economics / Finance / General,Business Economics/Finance - General,MAT000000 MATHEMATICS / General,MAT003000 MATHEMATICS / Applied,MAT029000,MATHEMATICS / Probability Statistics / General,Mathematics / Discrete Mathematics,Probability statistics,Applied mathematics,Mathematik / Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik,Wirtschaft / Allgemeines, Lexika, Geschichte
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