Stochastic finance. An introduction in discrete time.
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Publication:307534
DOI10.1515/9783110463453zbMATH Open1343.91001OpenAlexW4248704747MaRDI QIDQ307534FDOQ307534
Authors: Hans Föllmer, Alexander Schied 
Publication date: 2 September 2016
Published in: De Gruyter Textbook (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/9783110463453
Recommendations
risk measuresutility maximizationvariance-optimal hedgingefficient hedgingarbitrage theoryequiliibriumoptional decompositionsuper hedging
Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with discrete parameter (60G42) Portfolio theory (91G10) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Financial applications of other theories (91G80)
Cited In (only showing first 100 items - show all)
- Budget-constrained optimal retention with an upper limit on the retained loss
- Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
- A limit theorem for Bernoulli convolutions and the \(\Phi \)-variation of functions in the Takagi class
- Conditional coherent risk measures and regime-switching conic pricing
- On the link between monetary and star-shaped risk measures
- Risk measures induced by efficient insurance contracts
- Insurance premium-based shortfall risk measure induced by cumulative prospect theory
- Machine learning with kernels for portfolio valuation and risk management
- Aggregation of opinions and risk measures
- Risk-hedging a European option with a convex risk measure and without no-arbitrage condition
- Modeling and pricing cyber insurance. Idiosyncratic, systematic, and systemic risks
- Assessing the difference between integrated quantiles and integrated cumulative distribution functions
- Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures
- Multiple-prior valuation of cash flows subject to capital requirements
- Risk aggregation under dependence uncertainty and an order constraint
- The order-type Banach-Saks properties
- Viscous Hamilton-Jacobi equations in exponential Orlicz hearts
- XVA analysis from the balance sheet
- On a robust risk measurement approach for capital determination errors minimization
- Star-Shaped Risk Measures
- Social discounting and the long rate of interest
- Law-invariant functionals that collapse to the mean: beyond convexity
- Automatic Fatou property of law-invariant risk measures
- Similar risks have similar prices: a useful and exact quantification
- Transport plans with domain constraints
- Is the inf-convolution of law-invariant preferences law-invariant?
- Guaranteed deterministic approach to superhedging: case of binary European option
- Budget-constrained optimal reinsurance design under coherent risk measures
- Shortfall Risk Models When Information on Loss Function Is Incomplete
- Reduced-form setting under model uncertainty with non-linear affine intensities
- Weak comonotonicity
- No-arbitrage concepts in topological vector lattices
- Bayes risk, elicitability, and the Expected Shortfall
- Combining multi-asset and intrinsic risk measures
- Parametric measures of variability induced by risk measures
- On the denseness of the subset of discrete distributions in a certain set of two-dimensional distributions
- Continuous-time limits of multi-period cost-of-capital margins
- On the extension property of dilatation monotone risk measures
- Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
- Pairwise counter-monotonicity
- On Farkas' lemma and related propositions in BISH
- Guaranteed deterministic approach to superhedging: the semicontinuity and continuity properties of solutions of the Bellman-Isaacs equations
- Fundamental theorem of asset pricing with acceptable risk in markets with frictions
- Optimal reinsurance with general premium principles based on RVaR and WVaR
- Distributional transforms, probability distortions, and their applications
- Multivariate coherent risk measures induced by multivariate convex risk measures
- Gittins' theorem under uncertainty
- Representation theorems for WVaR with respect to a capacity
- Star-shaped deviations
- A decomposition of general premium principles into risk and deviation
- Martingale Schrödinger bridges and optimal semistatic portfolios
- Equivalence between time consistency and nested formula
- Budget-constrained optimal insurance with belief heterogeneity
- Stochastic finance. An introduction in discrete time.
- Relative bound and asymptotic comparison of expectile with respect to expected shortfall
- Minimax representation of nonexpansive functions and application to zero-sum recursive games
- Optimal investments for the standard maximization problem with non-concave utility function in complete market model
- Quantile-based risk sharing with heterogeneous beliefs
- Robust statistical arbitrage strategies
- Systemic optimal risk transfer equilibrium
- Buffered Probability of Exceedance: Mathematical Properties and Optimization
- Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity
- Option pricing: a yet simpler approach
- Title not available (Why is that?)
- Generalized entropic risk measures and related BSDEs
- Optimal insurance under rank-dependent expected utility
- Arbitrage concepts under trading restrictions in discrete-time financial markets
- Are law-invariant risk functions concave on distributions?
- Stochastic finance. An introduction in discrete time
- Optimal initial capital induced by the optimized certainty equivalent
- Optimal risk sharing in insurance networks. An application to asset-liability management
- Dynamic trading under integer constraints
- The average risk sharing problem under risk measure and expected utility theory
- A review on ambiguity in stochastic portfolio optimization
- Stochastic finance. An introduction in discrete time
- Conditional systemic risk measures
- A guaranteed deterministic approach to superhedging: financial market model, trading constraints and Bellman-Isaacs equations
- Optimal multiple stopping problem under nonlinear expectation
- Parameter uncertainty in the Kalman-Bucy filter
- Remarks on equality of two distributions under some partial orders
- When a combination of convexity and continuity forces monotonicity of preferences
- A constraint-free approach to optimal reinsurance
- A central limit theorem and hypotheses testing for risk-averse stochastic programs
- Large deviations for risk measures in finite mixture models
- Weighted allocations, their concomitant-based estimators, and asymptotics
- Inf-convolution and optimal allocations for mixed-VaRs
- Law-invariant functionals that collapse to the mean
- A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations
- Competitive equilibria in a comonotone market
- Systemic risk: conditional distortion risk measures
- Portfolio optimization with two quasiconvex risk measures
- Duality Formulas for Robust Pricing and Hedging in Discrete Time
- Minimax identity with robust utility functional for a nonconcave utility
- The value of a liability cash flow in discrete time subject to capital requirements
- The Formation of Financial Bubbles in Defaultable Markets
- Choquet Regularization for Continuous-Time Reinforcement Learning
- Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
- A scaling limit for utility indifference prices in the discretised Bachelier model
- Optimal insurance design in the presence of exclusion clauses
- On the decomposition of an insurer's profits and losses
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