UID:
almahu_9949462254302882
Format:
1 online resource (544 p.)
Edition:
3rd rev. and extend. ed.
ISBN:
9783110218053
,
9783110238570
Series Statement:
De Gruyter Textbook
Content:
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.
Note:
Frontmatter --
,
Preface to the third edition --
,
Preface to the second edition --
,
Preface to the first edition --
,
Contents --
,
I Mathematical finance in one period --
,
1 Arbitrage theory --
,
2 Preferences --
,
3 Optimality and equilibrium --
,
4 Monetary measures of risk --
,
II Dynamic hedging --
,
5 Dynamic arbitrage theory --
,
6 American contingent claims --
,
7 Superhedging --
,
8 Efficient hedging --
,
9 Hedging under constraints --
,
10 Minimizing the hedging error --
,
11 Dynamic risk measures --
,
Appendix --
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Notes --
,
Bibliography --
,
List of symbols --
,
Index
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Mode of access: Internet via World Wide Web.
,
In English.
In:
DGBA Backlist Complete English Language 2000-2014 PART1, De Gruyter, 9783110238570
In:
DGBA Backlist Mathematics 2000-2014 (EN), De Gruyter, 9783110238471
In:
DGBA Mathematics - 2000 - 2014, De Gruyter, 9783110637205
In:
E-BOOK GESAMTPAKET / COMPLETE PACKAGE 2010, De Gruyter, 9783110233544
In:
E-BOOK PACKAGE ENGLISH LANGUAGES TITLES 2010, De Gruyter, 9783110233551
In:
E-BOOK PAKET SCIENCE TECHNOLOGY AND MEDICINE 2010, De Gruyter, 9783110233636
Additional Edition:
ISBN 9783110218046
Language:
English
Subjects:
Mathematics
DOI:
10.1515/9783110218053
URL:
https://doi.org/10.1515/9783110218053
URL:
https://www.degruyter.com/isbn/9783110218053
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