Format:
Online-Ressource (XI, 459 S.)
Edition:
3. rev. and extended ed.
ISBN:
9783110218053
,
9783110218046
Series Statement:
De Gruyter studies in mathematics 27
Content:
This is the third, revised and extended edition of the classical introduction to the mathematics of finance, based on stochastic models in discrete time. In the first part of the book simple one-period models are studied, in the second part the idea of dynamic hedging of contingent claims is developed in a multiperiod framework. Due to the strong appeal and wide use of this book, it is now available as a textbook with exercises. It will be of value for a broad community of students and researchers. It may serve as basis for graduate courses and be also interesting for those who work in the financial industry and want to get an idea about the mathematical methods of risk assessment .Hans Föllmer, Humboldt-Universität zu Berlin, Germany; Alexander Schied, University of Mannheim, Germany.
Note:
Includes bibliographical references and index
,
Mathematical finance in one period -- Arbitrage theory -- Preferences -- Optimality and equilibrium -- Monetary measures of risk -- Dynamic hedging -- Dynamic arbitrage theory -- American contingent claims -- Superhedging -- Efficient hedging -- Hedging under constraints -- Minimizing the hedging error -- Dynamic risk measures.
Additional Edition:
ISBN 9783110218046
Additional Edition:
Druckausg. Föllmer, Hans, 1941 - Stochastic finance Berlin : de Gruyter, 2011 ISBN 9783110218046
Language:
English
Subjects:
Economics
,
Mathematics
Keywords:
Finanzmathematik
;
Stochastisches Modell
DOI:
10.1515/9783110218053
URL:
Volltext
(lizenzpflichtig)
Author information:
Schied, Alexander
Author information:
Föllmer, Hans 1941-
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