Stochastic finance : an introduction in discrete time
著者
書誌事項
Stochastic finance : an introduction in discrete time
（De Gruyter studies in mathematics, 27）
W. de Gruyter, 2002
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注記
Bibliography: p. [403]-411
Includes index
内容説明・目次
内容説明
An introduction to financial mathematics for mathematicians. In contrast to many textbooks on mathematical finance, only discrete-time stochastic models are considered. As such, the text can concentrate from the beginning on typical problems which are suggested by financial applications.
目次
Mathematical finance in one period: Arbitrage theory - Expected utility - Optimal investments - Measures of risk Dynamic Arbitrage Theory: Dynamic hedging of contingent claims - American contingent claims - Optional decomposition and superhedging - Efficient hedging in incomplete markets - Minimizing the hedging error - Hedging under constraints References - Index
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