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Stochastic Finance : An Introduction in Discrete Time. 2nd rev. & extend. ed. 確率的ファイナンス 改訂・増補第2版
・ISBN 978-3-11-018346-7 cloth EUR 144.95
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電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-3-11-021207-5
| 著者・編者 | Föllmer, Hans / Schied, A., |
|---|---|
| シリーズ | de Gruyter Studies in Mathematics |
| 出版社 | (de Gruyter, GW) |
| 出版年月 | 2004 |
| ページ数 | xii, 452 pp. |
| 言語 | ENG |
| ニュース番号 | ＜516-236＞ |
解説
This book is an introduction to financial mathematics.
The first part of the book studies a simple one-period model which 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 risk.
In the second part, the idea of dynamic hedging of contingent claims is developed in a multiperiod framework. Such models are typically incomplete: They involve intrinsic risks which cannot be hedged away completely. Topics include martingale measures, pricing formulas for derivatives, American options, superhedging, and hedging strategies with minimal shortfall risk.
In addition to many corrections and improvements, this second edition contains several new sections, including a systematic discussion of law-invariant risk measures and of the connections between American options, superhedging, and dynamic risk measures.