Mendeley出力
＜図書＞
Stochastic finance : an introduction in discrete time
| 責任表示 | Hans Föllmer, Alexander Schied |
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| シリーズ | De Gruyter studies in mathematics ; 27 |
| データ種別 | 図書 |
| 出版情報 | Berlin : W. de Gruyter , 2002 |
| 本文言語 | 英語 |
| 大きさ | ix, 422 p. : ill. ; 25 cm |
| 概要 | 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. Follmer is affiliated with Humboldt University of Berlin, Germany; Schied, with the Institute for Mathematics, Berlin. Annotation copyrighted by Book News, Inc., Portland, OR続きを見る |
所蔵情報
| 状態 | 巻次 | 所蔵場所 | 請求記号 | 刷年 | 文庫名称 | 資料番号 | コメント | 予約・取寄 | 複写申込 | 自動書庫 |
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理系図3F 数理独自 | FOLL/20/1 | 2002 |
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023212002003820 |
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経 研究室 | 311.19/F 37/20030151 | 2002 |
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017212003001513 |
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書誌詳細
| 一般注記 | Bibliography: p. [403]-411 Includes index |
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| 著者標目 | *Föllmer, Hans Schied, Alexander |
| 件 名 | LCSH:Finance -- Statistical methods
全ての件名で検索
LCSH:Stochastic analysis LCSH:Probabilities |
| 分 類 | LCC:HG176.5 DC21:332/.01/519232 |
| 書誌ID | 1000909516 |
| ISBN | 3110171198 |
| NCID | BA58468726 |
| 巻冊次 | ISBN:3110171198 |
| 登録日 | 2009.09.16 |
| 更新日 | 2009.11.02 |