Mendeley出力
＜図書＞
Stochastic finance : an introduction in discrete time
| 責任表示 | Hans Föllmer, Alexander Schied |
|---|---|
| シリーズ | De Gruyter graduate |
| データ種別 | 図書 |
| 版 | 3rd rev. and extended ed. |
| 出版情報 | Berlin : De Gruyter , c2011 |
| 本文言語 | 英語 |
| 大きさ | xi, 544 p. ; 24 cm |
| 概要 | With the third edition, the book moves from the De Gruyter Studies in Mathematics series to the De Gruyter graduate textbook series, so Follner (emeritus, Humboldt U., Berlin) and Schied (U. of Mannhe...m) have included more than 100 exercises. They have typically used the book in an introductory text for two major areas, either combined into one course or in two separate courses. The first area comprises static and dynamic arbitrage theory in discrete time, and the second deals with mathematical aspects of financial risk. More advanced material is also included that can be used in longer or special-topic courses. In this edition, they join other academics and practitioners by paying more attention to the problem of model uncertainty in finance and economics. Annotation ©2011 Book News, Inc., Portland, OR (booknews.com) 続きを見る |
| 目次 | Arbitrage theory Preferences Optimality and equilibrium Monetary measures of risk Dynamic arbitrage theory American contingent claims Superhedging Efficient hedging Hedging under constraints Minimizing the hedging error Dynamic risk measures.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 |
|---|---|---|---|---|---|---|---|---|---|---|
|
|
: [pbk.] | 理系図3F 数理独自 | FOLL/20/1b | 2011 |
|
033212010005841 |
|
書誌詳細
| 一般注記 | Includes bibliographical references (p. [517]-531) and index |
|---|---|
| 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 DC22:332/.01/519232 |
| 書誌ID | 1001441102 |
| ISBN | 9783110218046 |
| NCID | BB04858746 |
| 巻冊次 | : [pbk.] ; ISBN:9783110218046 |
| 登録日 | 2011.02.18 |
| 更新日 | 2011.02.18 |