Stochastic Finance Föllmer, Hans; Schied, Alexander
2011, 2011-01-28, 20110101
eBook
This is the third, revised and extended edition of the classical introduction to the mathematics of finance, based on stochastic models in discrete time. In the first part of the book simple ...one-period models are studied, in the second part the idea of dynamic hedging of contingent claims is developed in a multiperiod framework. Due to the strong appeal and wide use of this book, it is now available as a textbook with exercises. It will be of value for a broad community of students and researchers. It may serve as basis for graduate courses and be also interesting for those who work in the financial industry and want to get an idea about the mathematical methods of risk assessment .Hans Föllmer, Humboldt-Universität zu Berlin, Germany; Alexander Schied, University of Mannheim, Germany.
Originally published in 2003,Mathematical Techniques in Financehas become a standard textbook for master's-level finance courses containing a significant quantitative element while also being ...suitable for finance PhD students. This fully revised second edition continues to offer a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and mathematics, and provides plenty of opportunities for students to practice applied mathematics and cutting-edge finance. Ales Cerný mixes tools from calculus, linear algebra, probability theory, numerical mathematics, and programming to analyze in an accessible way some of the most intriguing problems in financial economics. The textbook is the perfect hands-on introduction to asset pricing, optimal portfolio selection, risk measurement, and investment evaluation.
The new edition includes the most recent research in the area of incomplete markets and unhedgeable risks, adds a chapter on finite difference methods, and thoroughly updates all bibliographic references. Eighty figures, over seventy examples, twenty-five simple ready-to-run computer programs, and several spreadsheets enhance the learning experience. All computer codes have been rewritten using MATLAB and online supplementary materials have been completely updated.
A standard textbook for graduate finance coursesIntroduction to asset pricing, portfolio selection, risk measurement, and investment evaluationDetailed examples and MATLAB codes integrated throughout the textExercises and summaries of main points conclude each chapter
This important book provides information necessary for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty; introduces the reader to the ...main concepts, notions and results of stochastic financial mathematics; and develops applications of these results to various kinds of calculations required in financial engineering. It also answers the requests of teachers of financial mathematics and engineering by making a bias towards probabilistic and statistical ideas and the methods of stochastic calculus in the analysis of market risks.
