Stochastic finance. An introduction in discrete time.

DOI10.1515/9783110463453zbMath1343.91001OpenAlexW4248704747MaRDI QIDQ307534

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

zbMATH Keywords

utility maximizationrisk measuresvariance-optimal hedgingefficient hedgingarbitrage theoryequiliibriumoptional decompositionsuper hedging

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

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