Stochastic Finance
by Follmer, Hans; Schied, AlexanderEdition: 3rd
Format: Paperback
Pub. Date: 2011-01-15
Publisher(s): INGRAM
Other versions by this Author
-
This Item Qualifies for Free Shipping!*
*Excludes marketplace orders.
List Price: $69.00
Buy New
In Stock
$68.93
Rent Book
Select for Price
Rent Digital
$82.80
Used Book
We're Sorry
Sold Out
How Marketplace Works:
- This item is offered by an independent seller and not shipped from our warehouse
- Item details like edition and cover design may differ from our description; see seller's comments before ordering.
- Sellers much confirm and ship within two business days; otherwise, the order will be cancelled and refunded.
- Marketplace purchases cannot be returned to eCampus.com. Contact the seller directly for inquiries; if no response within two days, contact customer service.
- Additional shipping costs apply to Marketplace purchases. Review shipping costs at checkout.
Summary
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 dynamic hedging of contingent claims is developed in a multiperiod framework. Due to the strong appeal and wide use of this book, it is now available as a textbook with exercises. It will be of value for a broad community of students and researchers. It may serve as basis for graduate courses and be also interesting for those who work in the financial industry and want to get an idea about the mathematical methods of risk assessment.
Author Biography
Hans Fllmer Professor emeritus at Humboldt University Berlin Alexander Schied Professor at University of Mannheim
Table of Contents
| Preface to the third edition | p. v |
| Preface to the second edition | p. vi |
| Preface to the first edition | p. vii |
| Mathematical finance in one period | p. 1 |
| Arbitrage theory | p. 3 |
| Assets, portfolios, and arbitrage opportunities | p. 3 |
| Absence of arbitrage and martingale measures | p. 7 |
| Derivative securities | p. 16 |
| Complete market models | p. 27 |
| Geometric characterization of arbitrage-free models | p. 33 |
| Contingent initial data | p. 37 |
| Preferences | p. 50 |
| Preference relations and their numerical representation | p. 51 |
| Von Neumann-Morgenstern representation | p. 57 |
| Expected utility | p. 67 |
| Uniform preferences | p. 83 |
| Robust preferences on asset profiles | p. 94 |
| Probability measures with given marginals | p. 113 |
| Optimality and equilibrium | p. 121 |
| Portfolio optimization and the absence of arbitrage | p. 121 |
| Exponential utility and relative entropy | p. 130 |
| Optimal contingent claims | p. 139 |
| Optimal payoff profiles for uniform preferences | p. 148 |
| Robust utility maximization | p. 151 |
| Microeconomic equihbrium | p. 159 |
| Monetary measures of risk | p. 175 |
| Risk measures and their acceptance sets | p. 176 |
| Robust representation of convex risk measures | p. 186 |
| Convex risk measures on L∞ | p. 199 |
| Value at Risk | p. 207 |
| Law-invariant risk measures | p. 213 |
| Concave distortions | p. 219 |
| Comonotonic risk measures | p. 228 |
| Measures of risk in a financial market | p. 236 |
| Utility-based shortfall risk and divergence risk measures | p. 246 |
| Dynamic hedging | p. 259 |
| Dynamic arbitrage theory | p. 261 |
| The multi-period market model | p. 261 |
| Arbitrage opportunities and martingale measures | p. 266 |
| European contingent claims | p. 274 |
| Complete markets | p. 287 |
| The binomial model | p. 290 |
| Exotic derivatives | p. 296 |
| Convergence to the Black-Scholes price | p. 302 |
| American contingent claims | p. 321 |
| Hedging strategies for the seller | p. 321 |
| Stopping strategies for the buyer | p. 327 |
| Arbitrage-free prices | p. 337 |
| Stability under pasting | p. 342 |
| Lower and upper Snell envelopes | p. 347 |
| Superhedging | p. 354 |
| P-supermartingales | p. 354 |
| Uniform Doob decomposition | p. 356 |
| Superhedging of American and European claims | p. 359 |
| Superhedging with liquid options | p. 368 |
| Efficient hedging | p. 380 |
| Quantile hedging | p. 380 |
| Hedging with minimal shortfall risk | p. 387 |
| Efficient hedging with convex risk measures | p. 396 |
| Hedging under constraints | p. 404 |
| Absence of arbitrage opportunities | p. 404 |
| Uniform Doob decomposition | p. 412 |
| Upper Snell envelopes | p. 417 |
| Superhedging and risk measures | p. 424 |
| Minimizing the hedging error | p. 428 |
| Local quadratic risk | p. 428 |
| Minimal martingale measures | p. 438 |
| Variance-optimal hedging | p. 449 |
| Dynamic risk measures | p. 456 |
| Conditional risk measures and their robust representation | p. 456 |
| Time consistency | p. 465 |
| Appendix | p. 476 |
| Convexity | p. 476 |
| Absolutely continuous probability measures | p. 480 |
| Quantile functions | p. 484 |
| The Neyman-Pearson lemma | p. 493 |
| The essential supremum of a family of random variables | p. 496 |
| Spaces of measures | p. 497 |
| Some functional analysis | p. 507 |
| Notes | p. 512 |
| Bibliography | p. 517 |
| List of symbols | p. 533 |
| Index | p. 535 |
| Table of Contents provided by Ingram. All Rights Reserved. |
An electronic version of this book is available through VitalSource.
This book is viewable on PC, Mac, iPhone, iPad, iPod Touch, and most smartphones.
By purchasing, you will be able to view this book online, as well as download it, for the chosen number of days.
Digital License
You are licensing a digital product for a set duration. Durations are set forth in the product description, with "Lifetime" typically meaning five (5) years of online access and permanent download to a supported device. All licenses are non-transferable.
More details can be found here.
A downloadable version of this book is available through the eCampus Reader or compatible Adobe readers.
Applications are available on iOS, Android, PC, Mac, and Windows Mobile platforms.
Please view the compatibility matrix prior to purchase.