Stochastic Finance: An Introduction in Discrete Time De Gruyter Textbook | 4th rev. ed. Edition

Compare Textbook Prices for Stochastic Finance: An Introduction in Discrete Time De Gruyter Textbook 4th rev. ed. Edition ISBN 9783110463446 by Föllmer, Hans,Schied, Alexander
Authors: Föllmer, Hans,Schied, Alexander
ISBN:311046344X
ISBN-13: 9783110463446
List Price: $82.17 (up to 36% savings)
Prices shown are the lowest from
the top textbook retailers.

View all Prices by Retailer

Details about Stochastic Finance: An Introduction in Discrete Time De Gruyter Textbook:

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 fourth, newly revised edition contains more than one hundred exercises. It also includes material on risk measures and the related issue of model uncertainty, in particular a chapter on dynamic risk measures and sections on robust utility maximization and on efficient hedging with convex risk measures. Contents: Part I: Mathematical finance in one period Arbitrage theory Preferences Optimality and equilibrium Monetary measures of risk Part II: Dynamic hedging Dynamic arbitrage theory American contingent claims Superhedging Efficient hedging Hedging under constraints Minimizing the hedging error Dynamic risk measures

Need a Statistics tutor? View profile below:
Deron P.
(0 reviews)
Education: Waldorf MD
Major: ASVAB Tutor

I tutor Accounting and Statistics students, specializing in Financial Accounting and Intro to Statistics. I also teach in group settings at discounted rates. For one-on-one sessions, I offer completely individualized tutoring - according to to my student's strengths and weaknesses. You'll find that I have a unique ability to assess your knowledge gaps and develop ways to close those gaps. I have more than 6 years' experience in bank regulation with the Federal Reserve and FDIC. My experienc ... Read more

I tutor Accounting and Statistics students, specializing in Financial Accounting and Intro to Statistics. I also teach in group settings at discounted rates. For one-on-one sessions, I offer completely individualized tutoring - according to to my student's strengths and weaknesses. You'll find that I have a unique ability to assess your knowledge gaps and develop ways to close those gaps. I have more than 6 years' experience in bank regulation with the Federal Reserve and FDIC. My experienc ... Read more

Need Statistics course notes? Start your search below: