WorldCat Identities

Föllmer, Hans

Overview
Works: 69 works in 172 publications in 2 languages and 1,389 library holdings
Genres: Conference papers and proceedings 
Roles: Author, Editor
Classifications: HG176.5, 332.01519232
Publication Timeline
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Most widely held works by Hans Föllmer
Stochastic finance : an introduction in discrete time by Hans Föllmer( Book )

45 editions published between 2002 and 2016 in English and held by 619 WorldCat member libraries worldwide

An introduction to financial mathematics for mathematicians. In contrast to many textbooks on mathematical finance, only discrete-time stochastic models are considered. As such, the text can concentrate from the beginning on typical problems which are suggested by financial applications
Stochastic processes and related topics( Book )

6 editions published in 1996 in English and held by 64 WorldCat member libraries worldwide

Chemistry and mathematics: two scientific languages of the 21st century : Leopoldina-Symposium [Göttingen, October 11 to 13, 2001] by Leopoldina Symposium( Book )

8 editions published in 2003 in English and held by 52 WorldCat member libraries worldwide

École d'Été de Probabilités de Saint-Flour XV-XVII, 1985-87( )

1 edition published in 1988 in English and held by 29 WorldCat member libraries worldwide

Feine Topologie am Martinrand eines Standardprozesses by Hans Föllmer( )

4 editions published in 1968 in German and held by 25 WorldCat member libraries worldwide

Berträge zur Theorie der stochastischen Prozesse by Hans Föllmer( Book )

5 editions published in 1972 in German and held by 10 WorldCat member libraries worldwide

On Schrödinger processes in infinite dimensions by Hans Föllmer( Book )

3 editions published in 1995 in English and held by 8 WorldCat member libraries worldwide

Convex measures of risk and trading constraints by Hans Föllmer( Book )

3 editions published in 2001 in English and held by 7 WorldCat member libraries worldwide

We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in Artzner et aL (1999), and we prove a corresponding extension of the representation theorem in terms of probability measures on the underlying space of scenarios. As a case study, we consider convex measures of risk defined in terms of a robust not ion of bounded shortfall risk. In the context of a financial market model, it turns out that the representation theorem is closely related to the superhedging duality under convex constraints
A microeconomic approach to diffusion models for stock prices by Hans Föllmer( Book )

3 editions published in 1992 in English and German and held by 7 WorldCat member libraries worldwide

Stock price fluctuation as a diffusion in a random environment by Hans Föllmer( Book )

3 editions published in 1993 in English and German and held by 7 WorldCat member libraries worldwide

Efficient hedging cost versus shortfall risk by Hans Föllmer( Book )

3 editions published in 1999 in English and held by 7 WorldCat member libraries worldwide

An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often quite expensive, we study partial hedges, which require less capital and reduce the risk. In a previous paper we determined quantile hedges which succeed with maximal probability, given a capital constraint. Here we look for strategies which minimize the shortfall risk defined as the expectation of the shortfall weighted by some loss function. The resulting efficient hedges allow the investor to interpolate in a systematic way between the extremes of no hedge and a perfect (super-)hedge, depending on the accepted level of shortfall risk. -- risk management ; stochastic volatility ; shortfall risk ; Hedging ; efficient hedges ; lower partial moments ; convex duality
Canonical decomposition of linear transformations of two independent Brownian motions by Hans Föllmer( Book )

3 editions published in 1998 in English and held by 6 WorldCat member libraries worldwide

Motivated by the Kyle-Back model of "insider trading", we consider certain classes of linear transformations of two independent Brownian motions and study their canonical decomposition as semimartingales in their own filtration. In particular we characterize those transformations which generate again a Brownian motion. -- Brownian motion ; insider trading ; stochastic filtering theory ; enlargement of filtration ; canonical decomposition ; Sturm-Liouville equation ; Volterra kernels
On weak Brownian motions of arbitrary order by Hans Föllmer( Book )

3 editions published in 1999 in English and held by 6 WorldCat member libraries worldwide

We show the existence, for any k E N, of processes which have the same k-marginals as Brownian motion, although they are not Brownian motions. For k = 4, this proves a conjecture of Stoyanov. The law P' of such a "weak Brownian motion of order k" can be constructed to be equivalent to Wiener measure P' on c [O, 1]. On the other hand, there are weak Brownian motions of arbitrary order whose law is singular to Wiener measure. We also show that, for any e > 0, there are weak Brownian motions whose law coincides with wiener measure outside of any interval of length e. -- Brownian motion ; weak Brownian motion ; weak martingale ; marginals ; Volterra kernel
On Itô's formula for multidimensional Brownian motion by Hans Föllmer( Book )

3 editions published between 1998 and 2001 in English and held by 6 WorldCat member libraries worldwide

Quantile hedging by Hans Föllmer( Book )

3 editions published in 1998 in English and held by 6 WorldCat member libraries worldwide

In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at risk
Probabilistic aspects of options by Hans Föllmer( Book )

3 editions published in 1991 in German and English and held by 6 WorldCat member libraries worldwide

The financial crisis and the systemic failure of academic economics( )

2 editions published in 2009 in English and held by 4 WorldCat member libraries worldwide

The economics profession appears to have been unaware of the long build-up to the current worldwide financial crisis and to have significantly underestimated its dimensions once it started to unfold. In our view, this lack of understanding is due to a misallocation of research efforts in economics. We trace the deeper roots of this failure to the profession's insistence on constructing models that, by design, disregard the key elements driving outcomes in real-world markets. The economics profession has failed in communicating the limitations, weaknesses, and even dangers of its preferred models to the public. This state of affairs makes clear the need for a major reorientation of focus in the research economists undertake, as well as for the establishment of an ethical code that would ask economists to understand and communicate the limitations and potential misuses of their models. -- Financial crisis ; academic moral hazard ; ethic responsibility of researchers
Convergence of locally and globally interacting Markov chains by Hans Föllmer( Book )

2 editions published in 2001 in English and held by 4 WorldCat member libraries worldwide

Hedging of non-redundant contingent claims by Hans Föllmer( Book )

3 editions published between 1985 and 1987 in English and German and held by 4 WorldCat member libraries worldwide

 
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Audience Level
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  Kids General Special  
Audience level: 0.54 (from 0.40 for Stochastic ... to 0.97 for The financ ...)

Stochastic finance : an introduction in discrete time
Alternative Names
Föllmer, H.

Föllmer, H. 1941-

Föllmer, H. (Hans)

Föllmer, Hanns 1941-

Follmer, Hans

Hans Föllmer deutscher Statistiker und Finanzmathematiker

Hans Föllmer Duits wiskundige

Hans Föllmer German mathematician

Hans Föllmer tysk matematikar

Hans Föllmer tysk matematiker

Languages
English (92)

German (14)

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