DMCA. Copyrighted Work that you can Claim.
Base have 820 524 books.
Search: 


📙 Stochastic Finance: An Introduction in Discrete Time by Hans Föllmer, Alexander Schied — download pdf


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



About book:

About file:

  • File size: 2 981 400
  • Format: pdf


Security code:
Download button

Similar books results


Stochastic finance: an introduction in discrete time
Stochastic finance: an introduction in discrete time download pdf by Hans Follmer, Alexander Schied

This book is an introduction to financial mathematics for mathematicians. It is intended both for graduate students with a certain background in probability theory as well as for professional mathematicians in industry and academia. In contrast to many te...

Stochastic Finance: An Introduction in Discrete Time
Stochastic Finance: An Introduction in Discrete Time epub download by Hans Föllmer, Alexander Schied

This is the third, revised and extended edition of the classical introduction to the mathematics of finance, based on stochastic models in discrete time. In the first part of the book simple one-period models are studied, in the second part the idea of dy...

Stochastic Finance: An Introduction in Discrete Time
Stochastic Finance: An Introduction in Discrete Time free pdf by Hans Föllmer, Alexander Schied

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 probabil...

Stochastic Finance: An Introduction in Discrete Time
Stochastic Finance: An Introduction in Discrete Time free epub by Hans Follmer, Alexander Schied

Intended for graduate students in mathematics, this textbook is an introduction to probabilistic methods in finance that focuses on stochastic models in real time. It is based on courses taught by the authors at Humboldt U. and Technical U. in Germany. Th...

Discrete-time Asset Pricing Models in Applied Stochastic Finance
Discrete-time Asset Pricing Models in Applied Stochastic Finance pdf free by P?C.G. Vassiliou(auth.)

Stochastic finance and financial engineering have been rapidly expanding fields of science over the past four decades, mainly due to the success of sophisticated quantitative methodologies in helping professionals manage financial risks. In recent years, ...

Introduction to Stochastic Calculus Applied to Finance, Second Edition
Introduction to Stochastic Calculus Applied to Finance, Second Edition free pdf by Lamberton, Damien; Lapeyre, Bernard

INTRODUCTION DISCRETE-TIME MODELS Discrete-time formalismMartingales and arbitrage opportunities Complete markets and option pricing Problem: Cox, Ross and Rubinstein model OPTIMAL STOPPING PROBLEM AND AMERICAN OPTIONS Stopping time The Snell envelope Dec...

Mathematical methods in robust control of discrete-time linear stochastic systems
Mathematical methods in robust control of discrete-time linear stochastic systems epub download by Vasile Dragan, Toader Morozan, Adrian-Mihail Stoica (auth.)

In this monograph the authors develop a theory for the robust control of discrete-time stochastic systems, subjected to both independent random perturbations and to Markov chains. Such systems are widely used to provide mathematical models for real proces...

Stochastic control in discrete and continuous time
Stochastic control in discrete and continuous time free download by Atle Seierstad (auth.)

This book provides a comprehensive introduction to stochastic control problems in discrete and continuous time. The material is presented logically, beginning with the discrete-time case before proceeding to the stochastic continuous-time models. Central ...

Mathematical Methods in Robust Control of Discrete-Time Linear Stochastic Systems
Mathematical Methods in Robust Control of Discrete-Time Linear Stochastic Systems epub download by Vasile Dragan, Toader Morozan, Adrian-Mihail Stoica (auth.)

In this monograph the authors develop a theory for the robust control of discrete-time stochastic systems, subjected to both independent random perturbations and to Markov chains. Such systems are widely used to provide mathematical models for real proces...