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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.

MSC:

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

Citations:

Zbl 1125.91053
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