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Probabilistic aspects of financial risk

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  • Föllmer, Hans

Abstract

Problems arising in Finance have become a significant source of new developments in Stochastic Analysis. We discuss some recent case studies, in particular some decomposition and representation theorems which are motivated by problems of hedging derivatives and of intertemporal consumption choice.

Suggested Citation

  • Föllmer, Hans, 2000. "Probabilistic aspects of financial risk," SFB 373 Discussion Papers 2000,103, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:2000103
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