UID:
almahu_9949462256102882
Format:
1 online resource (459 p.)
Edition:
2nd rev. and extend. ed. Reprint 2020
ISBN:
9783110212075
,
9783110494938
Series Statement:
De Gruyter Studies in Mathematics , 27
Content:
Das Buch ist eine Einführung in die Finanzmathematik. Der erste Teil des Buchs untersucht ein einfaches einperiodiges Modell, das als Grundlage für spätere Entwicklungen dient. Im zweiten Teil wird die Idee des dynamischen Hedgings von Eventualforderungen in einem mehrperiodigen Rahmen entwickelt.
Content:
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.
Note:
Frontmatter --
,
Preface to the second edition --
,
Preface to the first edition --
,
Contents --
,
Part I. Mathematical finance in one period --
,
Chapter 1. Arbitrage theory --
,
Chapter 2. Preferences --
,
Chapter 3. Optimality and equilibrium --
,
Chapter 4. Monetary measures of risk --
,
Part II. Dynamic hedging --
,
Chapter 5. Dynamic arbitrage theory --
,
Chapter 6. American contingent claims --
,
Chapter 7. Superhedging --
,
Chapter 8. Efficient hedging --
,
Chapter 9. Hedging under constraints --
,
Chapter 10. Minimizing the hedging error --
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Appendix --
,
Notes --
,
Bibliography --
,
List of symbols --
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Index
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Issued also in print.
,
Mode of access: Internet via World Wide Web.
,
In English.
In:
DG Studies in Mathematics eBook-Package, De Gruyter, 9783110494938
In:
DGBA Mathematics - 2000 - 2014, De Gruyter, 9783110637205
In:
E-BOOK GESAMTPAKET / COMPLETE PACKAGE 2008, De Gruyter, 9783110212129
In:
E-BOOK PACKAGE ENGLISH LANGUAGES TITLES 2008, De Gruyter, 9783110212136
In:
E-BOOK PAKET SCIENCE TECHNOLOGY AND MEDICINE 2008, De Gruyter, 9783110209082
Additional Edition:
ISBN 9783110183467
Language:
English
DOI:
10.1515/9783110212075
URL:
https://doi.org/10.1515/9783110212075
URL:
https://www.degruyter.com/isbn/9783110212075
Bookmarklink
