Stochastic finance : an introduction in discrete time by / Hans Follmer and Alexander Schied.
Material type:
TextSeries: De Gruyter graduatePublication details: Berlin : De Gruyter, ©2016.Edition: 4th rev edDescription: xii, 596 pages ; illustrations : 24 cmISBN: - 9783110463446
- 332.0151923 23 F668
| 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 |
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| 332.01513 W726 Introduction to the mathematics of finance | 332.0151564 Sa351 Mathematical control theory and finance | 332.0151922 C539 Problems and solutions in mathematical finance : | 332.0151923 F668 Stochastic finance : | 332.01519233 C993 Contract theory in continuous-time models / | 332.015195 Introduction to Econophysics: Correlations and Complexity in Finance | 332.015195 The Econometric Modelling of Financial Time Series |
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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