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# π Stochastic finance: an introduction in discrete time by Hans Follmer, Alexander Schied β download pdf

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This book is an introduction to financial mathematics for mathematicians. It is intended both for graduate students with a certain background in probability theory as well as for professional mathematicians in industry and academia. In contrast to many textbooks on mathematical finance, only discrete-time stochastic models are considered. This setting has the advantage that the text can concentrate from the beginning on typical problems which are suggested by financial applications. Moreover, certain principles, such as the general incompleteness of realistic market models, become thus more transparent and visible. On the other hand, all models are based on general probability spaces, and so the text captures the interplay between probability theory and functional analysis which is typical for modern mathematical finance. The first part of the book contains a study of financial investments in a static one-period market model. Here, an investor faces intrinsic risk and uncertainty, which cannot be hedged away. The tools presented to deal with this situation range from the classical theory of expected utility until the more recent development of measures of risk. In the second part of the book, the idea of dynamic hedging and arbitrage-free pricing of contingent claims is developed in a multi-period framework. Such market models are typically incomplete, and particular focus is given to methods combining the dynamic hedging of a risky position with the tools of assessing risk and uncertainty as presented in part. Contents: Mathematical finance in one period: Arbitrage theory. Expected utility. Optimal investments. Measures of risk Dynamic Arbitrage Theory: Dynamic hedging of contingent claims. American contingent claims. Optional decomposition and super-hedging. Efficient hedging in incomplete markets. Minimizing the hedging error. Hedging under constraints References. Index

## About book:

## About file:

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- Series:
**De Gruyter studies in mathematics** - Author:
**Hans Follmer, Alexander Schied** - Year:
**2002** - Publisher:
**Walter de Gruyter** - Language:
**English** - ISBN:
**9783110171198,3-11-017119-8**

- File size:
**5 154 905** - Format:
**djvu**

Security code:

Derivatives are financial entities whose value is derived from the value of other more concrete assets such as stocks and commodities. They are an important ingredient of modern financial markets.Β This book provides an introduction to the mathematical mod...

FOR INFORMATION ABOUT THE SOLUTIONS MANUAL AND MATLAB SOFTWARE, PLEASE CONTACT MICHELLE FLOMENHOFT AT [email protected] PROBABILITY AND RANDOM PROCESSES USING MATLAB, 1/e, is designed for an undergraduate senior level or first year grad...

Presents the knowledge necessary for an appreciation of the wide scope of applications for discrete-time signal processing and a foundation for contributing to future developments in this technology. DLC: Signal processing--Mathematics. ...

This monograph deals with control problems of discrete-time dynamical systems, which include linear and nonlinear input/output relations. It will be of popular interest to researchers, engineers and graduate students who specialized in system theory. A ne...

Sliding mode control is a simple and yet robust control technique, where the system states are made to confine to a selected subset. With the increasing use of computers and discrete-time samplers in controller implementation in the recent past, discrete-...

This book evolved from the first ten years of the Carnegie Mellon professional Master's program in Computational Finance. The contents of the book have been used successfully with students whose mathematics background consists of calculus and calculus-bas...

Quantitative finance has become these last years a extraordinary field of research and interest as well from an academic point of view as for practical applications. At the same time, pension issue is clearly a major economical and financial topic for th...

This mathematically elementary introduction to the theory of options pricing presents the Black-Scholes theory of options as well as introducing such topics in finance as the time value of money, mean variance analysis, optimal portfolio selection, and th...

This book provides an introduction to the theory of linear systems and control for students in business mathematics, econometrics, computer science, and engineering; the focus is on discrete time systems. The subjects treated are among the central topics ...

"This work, featuring a reading level appropriate for high school audiences and above, is recommended for academic and public libraries."-Library JournalThe Encyclopedia of Obesity is as much of a reference resource as it is a tool to raise awareness in ...

ABC-CLIO STEALS FROM THEIR AUTHORS, PAYS THEM NOTHING, AND ROBS THEM BLIND. DO NOT PURCHASE BOOKS FROM THEM OR FROM THEIR SUBSIDIARIES. BOYCOTT THESE THIEVES!!!...

This academic reference book includes six informative essays, an extensive bibliography, web site addresses, and indexes of titles, names and studios in addition to the hundreds of main entries. At less than 500 pages, this single volume title is hardly c...

this an encyclopedia that is great to have in your personal library. it can be of great use as a research tool for younger children and teens alike....

Race riots are the most glaring and contemporary displays of the racial strife running through America's history. Mostly urban, mostly outside the South, and mostly white-instigated, the number and violence of race riots increased as blacks migrated out o...

"From assisted suicide and batter women to human trafficking and sex offenders, this guide provides an excellent overview of the state research on interpersonal violence. This set is highly recommended for academic libraries."-John R. M. LawrenceInterpers...

Discover how the application of novel multidisciplinary, integrative approaches and technologies are dramatically changing our understanding of the pathogenesis of infectious diseases and their treatments. Each article presents the state of the science, w...

During the past two decades, higher processing temperatures, more efficient engines at higher temperatures, and the use of a vacuum environment have led to the development of a number of important processing, fabrication, and industrial techniques, result...