2 Preferences

Chapters in this book

1. Frontmatter I
2. Preface to the fifth edition V
3. Preface to the fourth edition VII
4. Preface to the third edition IX
5. Preface to the second edition XI
6. Preface to the first edition XIII
7. Contents XV
8. Part I Mathematical finance in one period
9. 1 Arbitrage theory 3
10. 2 Preferences 54
11. 3 Optimality and equilibrium 128
12. 4 Monetary measures of risk 188
13. Part II Dynamic hedging
14. 5 Dynamic arbitrage theory 301
15. 6 American contingent claims 363
16. 7 Superhedging 397
17. 8 Efficient hedging 425
18. 9 Hedging under constraints 451
19. 10 Minimizing the hedging error 476
20. 11 Dynamic risk measures 505
21. 12 Long-run performance of rebalanced portfolios 525
22. A Convexity 549
23. B Absolutely continuous probability measures 557
24. C Relative entropy 563
25. D Quantile functions and their applications 569
26. E The Neyman–Pearson lemma 585
27. F The essential supremum of a family of random variables 589
28. G Spaces of measures 591
29. H Some functional analysis 605
30. Bibliographical notes 615
31. Bibliography
32. List of symbols 633
33. Index 635