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ISBN: 3110183463Издательство: Walter de Gruyter
Год издания: 2004
Book DescriptionThis book is an introduction to financial mathematics for mathematicians. It is intended both for graduate students with a certain background in probability theory as well as for professional mathematicians in industry and academia. In contrast to many textbooks on mathematical finance, only discrete-time stochastic models are considered. This setting has the advantage that the text can concentrate from the beginning on typical problems which are suggested by financial applications. Moreover, certain principles, such as the general incompleteness of realistic market models, become thus more transparent and visible. On the other hand, all models are based on general probability spaces, and so the text captures the interplay between probability theory and functional analysis which is typical for modern mathematical finance. The first part of the book contains a study of financial investments in a static one-period market model. Here, an investor faces intrinsic risk...