Stochastic Finance
An Introduction in Discrete Time
2nd Edition
Published on 24. November 2004
Book
Hardback
XI, 459 pages
978-3-11-018346-7 (ISBN)
Description
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.
More details
Series
Edition
2nd rev. and extend. ed. Reprint 2020
Language
English
Place of publication
Berlin/Boston
Germany
Target group
Professional and scholarly
US School Grade: College Graduate Student
Edition type
Revised edition
Dimensions
Height: 246 mm
Width: 175 mm
Thickness: 31 mm
Weight
973 gr
ISBN-13
978-3-11-018346-7 (9783110183467)
Schweitzer Classification
Other editions
New editions
Book
01/2011
3rd Edition
De Gruyter
€54.95
Article exhausted; check for reprint
Additional editions
E-Book
12/2008
2nd Edition
De Gruyter
€144.95
Available for download
Previous edition
Book
08/2002
De Gruyter
€54.00
Article exhausted; check for reprint
Persons
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.
Content
Frontmatter
Contents
Chapter 1. Arbitrage theory
Chapter 2. Preferences
Chapter 3. Optimality and equilibrium
Chapter 4. Monetary measures of risk
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
Backmatter
Contents
Chapter 1. Arbitrage theory
Chapter 2. Preferences
Chapter 3. Optimality and equilibrium
Chapter 4. Monetary measures of risk
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
Backmatter