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Stochastic finance. An introduction in discrete time. 4th revised edition. (English) Zbl 1343.91001
de Gruyter Textbook. Berlin: de Gruyter (ISBN 978-3-11-046344-6/pbk; 978-3-11-046345-3/ebook). xii, 596 p. (2016).
Publisher’s description: This fourth, newly revised edition contains more than one hundred exercises. It also includes material on risk measures and the related issue of model uncertainty, in particular a chapter on dynamic risk measures and sections on robust utility maximization and on efficient hedging with convex risk measures.
See the reviews of the second and third editions in [Zbl 1126.91028; Zbl 1213.91006]. For the first edition see [Zbl 1125.91053].

91-01 Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance
91G20 Derivative securities (option pricing, hedging, etc.)
91B30 Risk theory, insurance (MSC2010)
91G10 Portfolio theory
91G80 Financial applications of other theories
60G40 Stopping times; optimal stopping problems; gambling theory
60G42 Martingales with discrete parameter
60H30 Applications of stochastic analysis (to PDEs, etc.)
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