Stochastic finance. An introduction in discrete time. 2nd revised and extended ed. (English) Zbl 1126.91028

de Gruyter Studies in Mathematics 27. Berlin: de Gruyter (ISBN 3-11-018346-3/hbk). xi, 459 p. (2004).
In this second edition major parts have been improved or entirely rewritten. Among them are those on robust representations of risk measures, arbitrage-free pricing of contingent claims, exotic derivatives in the CRR model, convergence to Black-Scholes prices, and stability under pasting with its connections to dynamically consistent coherent risk measures. Moreover, new sections have been added, including a systematic discussion of law-invariant risk measures, of concave distortions, and of the relations between risk measures and Choquet integration.
For the review of the original (2002) see Zbl 1125.91053.


91Gxx Actuarial science and mathematical finance
91-02 Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
60-02 Research exposition (monographs, survey articles) pertaining to probability theory
91G10 Portfolio theory
91G80 Financial applications of other theories
60G40 Stopping times; optimal stopping problems; gambling theory
60G42 Martingales with discrete parameter


Zbl 1125.91053