O'Reilly logo

Stochastic Finance, 4th Edition by Alexander Schied, Hans Föllmer

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

4.8Measures of risk in a financial market

In this section, we will consider risk measures which arise in the financial market model of Section 1.1. In this model, d + 1 assets are priced at times t = 0 and t = 1. Prices at time 1 are modeled as nonnegative random variables S0, S1, . . . , Sd on some probability space (Ω,F, P), with S0 1 + r. Prices at time 0 are given by a vector = (1, π), with π = (π1, . . . , πd). The discounted net gain of a trading strategy = (ξ0, ξ) is given by ξ · Y, where the random vector Y = (Y1, . . . , Yd) is defined ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required