Föllmer, Hans; Schied, Alexander Stochastic finance. An introduction in discrete time. 2nd revised and extended ed. (English) Zbl 1126.91028 de Gruyter Studies in Mathematics 27. Berlin: de Gruyter (ISBN 3-11-018346-3/hbk). xi, 459 p. (2004). In this second edition major parts have been improved or entirely rewritten. Among them are those on robust representations of risk measures, arbitrage-free pricing of contingent claims, exotic derivatives in the CRR model, convergence to Black-Scholes prices, and stability under pasting with its connections to dynamically consistent coherent risk measures. Moreover, new sections have been added, including a systematic discussion of law-invariant risk measures, of concave distortions, and of the relations between risk measures and Choquet integration.For the review of the original (2002) see Zbl 1125.91053. Cited in 10 ReviewsCited in 490 Documents MSC: 91Gxx Actuarial science and mathematical finance 91-02 Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance 60-02 Research exposition (monographs, survey articles) pertaining to probability theory 91G10 Portfolio theory 91G80 Financial applications of other theories 60G40 Stopping times; optimal stopping problems; gambling theory 60G42 Martingales with discrete parameter Citations:Zbl 1125.91053 PDFBibTeX XMLCite \textit{H. Föllmer} and \textit{A. Schied}, Stochastic finance. An introduction in discrete time. 2nd revised and extended ed. Berlin: de Gruyter (2004; Zbl 1126.91028)