Book
Licensed
Unlicensed
Requires Authentication
Stochastic Finance
An Introduction in Discrete Time
-
Hans Föllmer
Language:
English
Published/Copyright:
2025
About this book
This book provides an introduction to probabilistic methods in finance, based on stochastic models in discrete time. It is aimed primarily at graduate students in mathematics but may also benefit mathematicians in academia and the financial industry.
In this fifth edition, the entire text has been thoroughly revised to enhance clarity and completeness. This includes new sections on
- stop-loss insurance contracts,
- the Fatou property of law-invariant risk measures,
- relative entropy,
- Cover’s universal portfolios,
- and numerous new exercises.
Author / Editor information
Hans Föllmer is Professor emeritus at Humboldt University of Berlin. He was also Professor at ETH Zurich and the University of Bonn, Distinguished Visiting Professor at the National University of Singapore, and Andrew D. White Professor-at-Large at Cornell University.
Alexander Schied is Professor at the University of Waterloo and holds the Munich Re Chair in Stochastic Finance and a University Research Chair.
Topics
-
Download PDFPublicly Available
Frontmatter
I -
Requires Authentication UnlicensedLicensed
Preface to the fifth edition
V -
Requires Authentication UnlicensedLicensed
Preface to the fourth edition
VII -
Requires Authentication UnlicensedLicensed
Preface to the third edition
IX -
Requires Authentication UnlicensedLicensed
Preface to the second edition
XI -
Requires Authentication UnlicensedLicensed
Preface to the first edition
XIII -
Download PDFPublicly Available
Contents
XV - Part I Mathematical finance in one period
-
Requires Authentication UnlicensedLicensed
1 Arbitrage theory
3 -
Requires Authentication UnlicensedLicensed
2 Preferences
54 -
Requires Authentication UnlicensedLicensed
3 Optimality and equilibrium
128 -
Requires Authentication UnlicensedLicensed
4 Monetary measures of risk
188 - Part II Dynamic hedging
-
Requires Authentication UnlicensedLicensed
5 Dynamic arbitrage theory
301 -
Requires Authentication UnlicensedLicensed
6 American contingent claims
363 -
Requires Authentication UnlicensedLicensed
7 Superhedging
397 -
Requires Authentication UnlicensedLicensed
8 Efficient hedging
425 -
Requires Authentication UnlicensedLicensed
9 Hedging under constraints
451 -
Requires Authentication UnlicensedLicensed
10 Minimizing the hedging error
476 -
Requires Authentication UnlicensedLicensed
11 Dynamic risk measures
505 -
Requires Authentication UnlicensedLicensed
12 Long-run performance of rebalanced portfolios
525 -
Requires Authentication UnlicensedLicensed
A Convexity
549 -
Requires Authentication UnlicensedLicensed
B Absolutely continuous probability measures
557 -
Requires Authentication UnlicensedLicensed
C Relative entropy
563 -
Requires Authentication UnlicensedLicensed
D Quantile functions and their applications
569 -
Requires Authentication UnlicensedLicensed
E The Neyman–Pearson lemma
585 -
Requires Authentication UnlicensedLicensed
F The essential supremum of a family of random variables
589 -
Requires Authentication UnlicensedLicensed
G Spaces of measures
591 -
Requires Authentication UnlicensedLicensed
H Some functional analysis
605 -
Requires Authentication UnlicensedLicensed
Bibliographical notes
615 -
Requires Authentication UnlicensedLicensed
Bibliography
-
Requires Authentication UnlicensedLicensed
List of symbols
633 -
Requires Authentication UnlicensedLicensed
Index
635
Publishing information
Pages and Images/Illustrations in book
eBook published on:
August 15, 2025
eBook ISBN:
9783111045283
Paperback published on:
August 15, 2025
Paperback ISBN:
9783111044811
Edition:
This a revised and expnded fifth edition
Pages and Images/Illustrations in book
Front matter:
18
Main content:
646
Illustrations:
23
Tables:
1
Keywords for this book
Mathematical Finance; Arbitrage Theory; Option Pricing; Incomplete Markets; Convex Risk Measures; Preferences under Risk and Uncertainty; Stochastic Processes; Martingales in Discrete Time_x000D_
Audience(s) for this book
Students, researchers and practitioners interested in stochastic finance.
Safety & product resources
-
Manufacturer information:
Walter de Gruyter GmbH
Genthiner Straße 13
10785 Berlin
productsafety@degruyterbrill.com
