Verfügbarkeit: Stochastic finance | Technische Universität München

Stochastic finance: an introduction in discrete time

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Bibliographische Detailangaben
Beteiligte Personen:	Föllmer, Hans 1941- (VerfasserIn), Schied, Alexander (VerfasserIn)
Format:	Buch
Sprache:	Englisch
Veröffentlicht:	Berlin ; Boston De Gruyter [2016]
Ausgabe:	Fourth revised and extended edition
Schriftenreihe:	De Gruyter graduate
Schlagwörter:	Stochastisches Modell Finanzmathematik Lehrbuch
Links:	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029016586&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Umfang:	xii, 596 Seiten Diagramme
ISBN:	9783110463446

Internformat

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Datensatz im Suchindex

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adam_text	CONTENTS PREFACE TO THE FOURTH EDITION * V PREFACE TO THE THIRD EDITION* VI PREFACE TO THE SECOND EDITION * VII PREFACE TO THE FIRST EDITION * VILI PART I: MATHEMATICAL FINANCE IN ONE PERIOD 1 ARBITRAGE THEORY * 3 1.1 ASSETS, PORTFOLIOS, AND ARBITRAGE OPPORTUNITIES * 3 1.2 ABSENCE OF ARBITRAGE AND MARTINGALE MEASURES * 7 1.3 DERIVATIVE SECURITIES * 18 1.4 COMPLETE MARKET MODELS * 29 1.5 GEOMETRIE CHARACTERIZATION OF ARBITRAGE-FREE MODELS * 35 1.6 CONTINGENT INITIAL DATA * 41 2 PREFERENCES * 56 2.1 PREFERENCE RELATIONS AND THEIR NUMERICAL REPRESENTATION * 2.2 VON NEUMANN-MORGENSTERN REPRESENTATION * 63 2.3 EXPECTED UTILITY * 74 2.4 STOCHASTIC DOMINANCE * 92 2.5 ROBUST PREFERENCES ON ASSET PROFILES * 105 2.6 PROBABILITY MEASURES WITH GIVEN MARGINALS * 124 3 OPTIMALLTY AND EQUILLBRIUM * 134 3.1 PORTFOLIO OPTIMIZATION AND THE ABSENCE OF ARBITRAGE * 134 3.2 EXPONENTIAL UTILITY AND RELATIVE ENTROPY * 143 3.3 OPTIMAL CONTINGENT CLAIMS * 154 3.4 OPTIMAL PAYOFF PROFILES FOR UNIFORM PREFERENCES * 164 3.5 ROBUST UTILITY MAXIMIZATION * 168 3.6 MICROECONOMIC EQUILIBRIUM * 176 4 MONETARY MEASURES OF RISK * 194 4.1 RISK MEASURES AND THEIR ACCEPTANCE SETS * 195 4.2 ROBUST REPRESENTATION OF CONVEX RISK MEASURES * 206 4.3 CONVEX RISK MEASURES ON L * 221 4.4 VALUE AT RISK * 230 4.5 LAW-INVARIANT RISK MEASURES * 239 4.6 CONCAVE DISTORTIONS * 245 4.7 COMONOTONIC RISK MEASURES * 255 4.8 MEASURES OF RISK IN A FINANCIAL MARKET * 264 4.9 UTILITY-BASED SHORTFALL RISK AND DIVERGENCE RISK MEASURES * 276 PART II: DYNAMIC HEDGING 5 DYNAMIC ARBITRAGE THEORY * 291 5.1 THE MULTI-PERIOD MARKET MODEL * 291 5.2 ARBITRAGE OPPORTUNITIES AND MARTINGALE MEASURES * 296 5.3 EUROPEAN CONTINGENT CLAIMS * 305 5.4 COMPLETE MARKETS * 319 5.5 THE BINOMIAL MODEL * 323 5.6 EXOTIC DERIVATIVES * 330 5.7 CONVERGENCE TO THE BLACK-SCHOLES PRICE * 336 6 AMERICAN CONTINGENT CLAIMS * 357 6.1 HEDGING STRATEGIES FOR THE SELLER * 357 6.2 STOPPING STRATEGIES FOR THE BUYER * 363 6.3 ARBITRAGE-FREE PRICES * 375 6.4 STABILITY UNDER PASTING * 381 6.5 LOWER AND UPPER SNELL ENVELOPES * 387 7 SUPERHEDGING * 394 7.1 ^-SUPERMARTINGALES * 394 7.2 UNIFORM DOOB DECOMPOSITION * 396 7.3 SUPERHEDGING OF AMERICAN AND EUROPEAN CLAIMS * 399 7.4 SUPERHEDGING WITH LIQUID OPTIONS * 409 8 EFFICIENT HEDGING * 422 8.1 QUANTILE HEDGING * 422 8.2 HEDGING WITH MINIMAL SHORTFALL RISK * 429 8.3 EFFICIENT HEDGING WITH CONVEX RISK MEASURES * 440 9 HEDGING UNDER CONSTRAINTS * 449 9.1 ABSENCE OF ARBITRAGE OPPORTUNITIES * 449 9.2 UNIFORM DOOB DECOMPOSITION * 459 9.3 UPPER SNELL ENVELOPES * 465 9.4 SUPERHEDGING AND RISK MEASURES * 471 10 MINIMIZING THE HEDGING ERROR * 475 10.1 LOCAL QUADRATIC RISK * 475 10.2 MINIMAL MARTINGALE MEASURES * 486 10.3 VARIANCE-OPTIMAL HEDGING * 498 11 DYNAMIC RISK MEASURES * 506 11.1 CONDITIONAL RISK MEASURES AND THEIR ROBUST REPRESENTATION * 506 11.2 TIME CONSISTENCY * 516 APPENDIX * 527 A .L CONVEXITY * 527 A.2 ABSOLUTELY CONTINUOUS PROBABILITY MEASURES * 534 A.3 QUANTILE FUNCTIONS * 538 A.4 THE NEYMAN-PEARSON LEMMA * 550 A. 5 THE ESSENTIAL SUPREMUM OF A FAMILY OF RANDOM VARIABLES * 552 A.6 SPACES OF MEASURES * 554 A.7 SOME FUNCTIONAL ANALYSIS * 564 BIBLIOGRAPHICAL NOTES * 570 REFERENCES * 576 LIST OF SYMBOLS * 587 INDEX * 588
any_adam_object	1
author	Föllmer, Hans 1941- Schied, Alexander
author_GND	(DE-588)106315323 (DE-588)1017469970
author_facet	Föllmer, Hans 1941- Schied, Alexander
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author_sort	Föllmer, Hans 1941-
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dewey-full	332/.01/51923221
dewey-hundreds	300 - Social sciences
dewey-ones	332 - Financial economics
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dewey-search	332/.01/519232 21
dewey-sort	3332 11 6519232 221
dewey-tens	330 - Economics
discipline	Mathematik Wirtschaftswissenschaften
edition	Fourth revised and extended edition
format	Book
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spellingShingle	Föllmer, Hans 1941- Schied, Alexander Stochastic finance an introduction in discrete time Stochastisches Modell (DE-588)4057633-4 gnd Finanzmathematik (DE-588)4017195-4 gnd
subject_GND	(DE-588)4057633-4 (DE-588)4017195-4 (DE-588)4123623-3
title	Stochastic finance an introduction in discrete time
title_auth	Stochastic finance an introduction in discrete time
title_exact_search	Stochastic finance an introduction in discrete time
title_full	Stochastic finance an introduction in discrete time Hans Föllmer, Alexander Schied
title_fullStr	Stochastic finance an introduction in discrete time Hans Föllmer, Alexander Schied
title_full_unstemmed	Stochastic finance an introduction in discrete time Hans Föllmer, Alexander Schied
title_short	Stochastic finance
title_sort	stochastic finance an introduction in discrete time
title_sub	an introduction in discrete time
topic	Stochastisches Modell (DE-588)4057633-4 gnd Finanzmathematik (DE-588)4017195-4 gnd
topic_facet	Stochastisches Modell Finanzmathematik Lehrbuch
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029016586&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT follmerhans stochasticfinanceanintroductionindiscretetime AT schiedalexander stochasticfinanceanintroductionindiscretetime

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