دانلود کتاب Stochastic Finance: An Introduction in Discrete Time

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Contents\nPreface to the fourth edition\nPreface to the third edition\nPreface to the second edition\nPreface to the first edition\nPart I: Mathematical finance in one period\n 1. Arbitrage theory\n 1.1 Assets, portfolios, and arbitrage opportunities\n 1.2 Absence of arbitrage and martingale measures\n 1.3 Derivative securities\n 1.4 Complete market models\n 1.5 Geometric characterization of arbitrage-free models\n 1.6 Contingent initial data\n 2. Preferences\n 2.1 Preference relations and their numerical representation\n 2.2 Von Neumann–Morgenstern representation\n 2.3 Expected utility\n 2.4 Stochastic dominance\n 2.5 Robust preferences on asset profiles\n 2.6 Probability measures with given marginals\n 3. Optimality and equilibrium\n 3.1 Portfolio optimization and the absence of arbitrage\n 3.2 Exponential utility and relative entropy\n 3.3 Optimal contingent claims\n 3.4 Optimal payoff profiles for uniform preferences\n 3.5 Robust utility maximization\n 3.6 Microeconomic equilibrium\n 4. Monetary measures of risk\n 4.1 Risk measures and their acceptance sets\n 4.2 Robust representation of convex risk measures\n 4.3 Convex risk measures on L1\n 4.4 Value at Risk\n 4.5 Law-invariant risk measures\n 4.6 Concave distortions\n 4.7 Comonotonic risk measures\n 4.8 Measures of risk in a financial market\n 4.9 Utility-based shortfall risk and divergence risk measures\nPart II: Dynamic hedging\n 5. Dynamic arbitrage theory\n 5.1 The multi-period market model\n 5.2 Arbitrage opportunities and martingale measures\n 5.3 European contingent claims\n 5.4 Complete markets\n 5.5 The binomial model\n 5.6 Exotic derivatives\n 5.7 Convergence to the Black–Scholes price\n 6. American contingent claims\n 6.1 Hedging strategies for the seller\n 6.2 Stopping strategies for the buyer\n 6.3 Arbitrage-free prices\n 6.4 Stability under pasting\n 6.5 Lower and upper Snell envelopes\n 7. Superhedging\n 7.1 P-supermartingales\n 7.2 Uniform Doob decomposition\n 7.3 Superhedging of American and European claims\n 7.4 Superhedging with liquid options\n 8. Eflcient hedging\n 8.1 Quantile hedging\n 8.2 Hedging with minimal shortfall risk\n 8.3 Eflcient hedging with convex risk measures\n 9. Hedging under constraints\n 9.1 Absence of arbitrage opportunities\n 9.2 Uniform Doob decomposition\n 9.3 Upper Snell envelopes\n 9.4 Superhedging and risk measures\n 10. Minimizing the hedging error\n 10.1 Local quadratic risk\n 10.2 Minimal martingale measures\n 10.3 Variance-optimal hedging\n 11. Dynamic risk measures\n 11.1 Conditional risk measures and their robust representation\n 11.2 Time consistency\nAppendix\n A.1 Convexity\n A.2 Absolutely continuous probability measures\n A.3 Quantile functions\n A.4 The Neyman–Pearson lemma\n A.5 The essential supremum of a family of random variables\n A.6 Spaces of measures\n A.7 Some functional analysis\nBibliographical notes\nReferences\nList of symbols\nIndex