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Stochastic finance : an introduction in discrete time by / Hans Follmer and Alexander Schied.

By: Contributor(s): Material type: TextTextSeries: De Gruyter graduatePublication details: Berlin : De Gruyter, ©2016.Edition: 4th rev edDescription: xii, 596 pages ; illustrations : 24 cmISBN:
  • 9783110463446
Subject(s): DDC classification:
  • 332.0151923 23 F668
Contents:
Part I: Mathematical finance in one period -- 1. Arbitrage theory -- 2. Preferences -- 3. Optimality and equilibrium -- 4. Monetary measures of risk -- Part II: Dynamic hedging -- 5. Dynamic arbitrage theory -- 6. American contingent claims -- 7. Superhedging -- 8. Efficient hedging -- 9. Hedging under constraints -- 10. Minimizing the hedging error -- 11. Dynamic risk measures -- Appendix.
Summary: An introduction to the mathematics of finance, based on stochastic models in discrete time. It studies simple one-period models, and develops the idea of dynamic hedging of contingent claims in a multiperiod framework.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 332.0151923 F668 (Browse shelf(Opens below)) Available 137759
Total holds: 0

Includes bibliographical references and index.

Part I: Mathematical finance in one period --
1. Arbitrage theory --
2. Preferences --
3. Optimality and equilibrium --
4. Monetary measures of risk --
Part II: Dynamic hedging --
5. Dynamic arbitrage theory --
6. American contingent claims --
7. Superhedging --
8. Efficient hedging --
9. Hedging under constraints --
10. Minimizing the hedging error --
11. Dynamic risk measures --
Appendix.

An introduction to the mathematics of finance, based on stochastic models in discrete time. It studies simple one-period models, and develops the idea of dynamic hedging of contingent claims in a multiperiod framework.

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