Stochastic Finance: An Introduction in Discrete Time"This book is an introduction to financial mathematics. It is intended for graduate students in mathematics and for researchers working in academia and industry."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved |
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Stochastic Finance: An Introduction in Discrete Time Hans Föllmer,Alexander Schied Limited preview - 2008 |
Stochastic Finance: An Introduction in Discrete Time Hans Föllmer,Alexander Schied No preview available - 2004 |
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arbitrage arbitrage opportunities arbitrage-free price assume assumption Black-Scholes bounded call option claim H coherent risk measure condition contingent claim continuous convergence convex set Corollary d-dimensional predictable process defined Definition denote density discounted claim distribution Doob decomposition equivalent martingale measure ess sup exists expected utility F₁ given H₁ hedging Hence implies Lemma linear loss function market model measure of risk minimal Moreover non-negative numéraire optimal P-martingale P*EP payoff portfolio predictable process probability measure probability space Proof Proposition Q-supermartingale random variables Remark representation risk measures risk-neutral measure risky asset satisfies Section self-financing trading strategy sequence shortfall risk Snell envelope stochastic stochastic process superhedging strategy Theorem topology U₁ unique utility function V₁ Value at Risk value process weak topology X₁ yields Z₁