Finanzmathematik in diskreter Zeit

This textbook provides an easy-to-understand introduction to modern financial mathematics and explains basic mathematical concepts of option pricing, portfolio optimization and risk management. These include pricing through arbitrage considerations, pricing American options by solving optimal stop problems, determining optimal consumption and investment strategies, and expected value-variance portfolios. Current concepts of risk measurement such as value at risk and expected shortfall are also presented. Basics in stochastics and optimization are sufficient for understanding the contents and numerous exercises with detailed solutions as well as three appendices facilitate self-study.