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Stochastic Finance

eBook - An Introduction in Discrete Time, de Gruyter Studies in Mathematics
DE GRUYTER
ISBN/EAN: 9783110212075
Umbreit-Nr.: 7410459

Sprache: Englisch
Umfang: 470 S.
Format in cm:
Einband: Keine Angabe

Erschienen am 19.12.2008
Auflage: 2/2008


E-Book
Format: PDF
DRM: Adobe DRM
€ 67,95
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  • Zusatztext

    • <!doctype html public "-//w3c//dtd html 4.0 transitional//en"><html><head><title></title><meta http-equiv=content-type content="text/html; charset=iso-8859-1"><meta content="mshtml 6.00.6000.17092" name=generator></head><body><P>This book is an introduction to financial mathematics.</P><P>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.</P><P>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.</P><P>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.</P></body></html>

  • Kurztext

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      The series is devoted to the publication of monographs and high-level textbooks in mathematics, mathematical methods and their applications. Apart from covering important areas of current interest, a major aim is to make topics of an interdisciplinary nature accessible to the non-specialist.

      The works in this series are addressed to advanced students and researchers in mathematics and theoretical physics. In addition, it can serve as a guide for lectures and seminars on a graduate level.

      The series de Gruyter Studies in Mathematics was founded ca. 30 years ago by the late Professor Heinz Bauer and Professor Peter Gabriel with the aim to establish a series of monographs and textbooks of high standard, written by scholars with an international reputation presenting current fields of research in pure and applied mathematics.
      While the editorial board of the Studies has changed with the years, the aspirations of the Studies are unchanged. In times of rapid growth of mathematical knowledge carefully written monographs and textbooks written by experts are needed more than ever, not least to pave the way for the next generation of mathematicians. In this sense the editorial board and the publisher of the Studies are devoted to continue the Studies as a service to the mathematical community.

      Please submit any book proposals toNiels Jacob.

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  • Autorenportrait
    • <html><head><meta http-equiv=content-type content="text/html; charset=iso-8859-1"></head><body><p><EM>Hans Föllmer</EM>is Professor for Mathematics at the Humboldt University in Berlin, Germany.</p><P><EM>Alexander Schied</EM>is Professor at the Institute for Mathematics of the Technical University Berlin, Germany.</P></body></html>