Stochastic finance : an introduction in discrete time / Hans Föllmer, Alexander Schied
Tipo de material: TextoSeries De Gruyter studies in mathematics ; 27 Detalles de publicación: Berlin : Walter de Gruyter, 2004 Edición: 2nd ed.Descripción: 429 p. ; 25 cmISBN: 3-11-018346-3Tema(s): Análisis estocástico | FinanzasResumen: 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.Tipo de ítem | Biblioteca de origen | Signatura | URL | Estado | Fecha de vencimiento | Código de barras | Reserva de ítems |
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Monografías | 07. BIBLIOTECA CIENCIAS SOCIALES Y JURÍDICAS | 519.216/FOL/sto (Navegar estantería(Abre debajo)) | Texto completo | Prestado | 31/01/2025 | 3742729201 |
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Bibliografía: p. [439]-448
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.
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