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Stochastic Finance

By Hans Föllmer

Stochastic Finance

By Hans Föllmer

0 - Default Title
Description
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.
Product details
Edition:
2
Number of Pages:
472
Release Date:
2004-11-24
Publication Date:
2004-11-24
Publisher:
De Gruyter
Languages:
Original: English
ISBN10:
3110183463
ISBN13:
9783110183467
GPSR Manufacturer Reference:
[email protected]
Weight:
973 g
Height:
175 cm
Width:
246 cm
Thickness:
31 cm
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