Stochastic Finance: An Introduction in Discrete Time. Front Cover. Hans Föllmer, Alexander Schied. Walter de Gruyter, – Business & Economics – DOI /s BOOK REVIEW. H. Föllmer, A. Schied: Stochastic finance: an introduction in discrete time. de Gruyter Studies. : Stochastic Finance: An Introduction In Discrete Time 2 (Degruyter Studies in Mathematics) (): Hans Follmer, Alexander Schied.
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Dynamic hedging Dynamic arbitrage theory American contingent claims Superhedging Efficient hedging Hedging under constraints Minimizing the hedging error Dynamic risk measures. Get to Know Us. This third revised and extended edition now contains more stochsstic one hundred exercises.
Please try again later. It may serve as basis for graduate courses and be also stochadtic for those who work in the financial industry and want to get an idea about the mathematical methods of risk assessment.
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Withoutabox Submit to Film Festivals. Book Description This book is an introduction to financial mathematics. Account Options Sign in. Amazon Advertising Find, attract, and engage customers. The series de Gruyter Studies in Mathematics was founded ca. This book is an introduction to financial mathematics. 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.
It is intended for graduate students in mathematics and for researchers working in academia and industry. Amazon Giveaway allows you to run promotional giveaways in order to create buzz, reward your audience, and attract new followers and customers. English Choose a language for shopping. Collmer first part of the book contains a study of a simple one-period model, which also serves as a building block for later developments.
Stochastic Finance, 4th Edition [Book]
First, the probabilistic machinery is simpler, and one can discuss right away some of the key problems in the theory finabce pricing and hedging of financial derivatives. George YinQing Zhang No preview available – Customers who viewed this item also viewed. AmazonGlobal Ship Orders Internationally. An Introduction in Discrete Time. Amazon Renewed Refurbished products with a warranty.
My library Help Advanced Book Search. 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. Share your thoughts with other customers. Set up a giveaway. 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.
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Try the Kindle edition and experience these great reading features: View table of contents. 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 focus on stochastic models in discrete time has two immediate benefits. In addition, it can serve as a guide for lectures and seminars on a graduate level. Thus, the need to confront the intrinsic risks arising from market incomleteness appears at a very early stage. In the second part, the idea of dynamic hedging of contingent claims is developed in a multiperiod framework.
Second, the paradigm of a complete financial market, where all derivatives admit a perfect hedge, becomes the exception rather than the rule.