Stochastic Finance: An Introduction in Discrete Time (De Gruyter Studies in Mathematics)

Written for graduate students in mathematics and for researchers working in academia and industry, this introduction to financial mathematics focuses on stochastic models in discrete time, an approach that allows immediate discussion of key problems in the theory of pricing and hedging of financial derivatives and forces students to confront the problems arising in incomplete financial market models at an early stage. The first part of the book studies a simple one-period model; and the second part uses a multi-period framework to develop the idea of dynamic hedging of contingent claims, and examines areas such as American options, martingale measures, and hedging strategies with minimal shortfall risk. F÷llmer is affiliated with Humboldt University of Berlin, Germany; Schied, with the Institute for Mathematics, Berlin. Annotation c. Book News, Inc., Portland, OR (booknews.com)