Stochastic Finance
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Hans Föllmer
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
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I |
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V |
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VII |
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IX |
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XI |
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XIII |
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XV |
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Part I Mathematical finance in one period
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3 |
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54 |
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128 |
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188 |
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Part II Dynamic hedging
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301 |
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363 |
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397 |
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425 |
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451 |
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476 |
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525 |
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549 |
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557 |
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563 |
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569 |
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591 |
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605 |
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615 |
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633 |
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635 |
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Manufacturer information:
Walter de Gruyter GmbH
Genthiner Straße 13
10785 Berlin
productsafety@degruyterbrill.com
