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...

Das Buch ist eine Einführung in die Finanzmathematik. Der erste Teil des Buchs untersucht ein einfaches einperiodiges Modell, das als Grundlage für spätere Entwicklungen dient. Im zweiten Teil wird die Idee des dynamischen Hedgings von Eventualforderungen in einem mehrperiodigen Rahmen entwickelt

In the past decades, advanced probabilistic methods have had significant impact on the field of finance, both in academia and in the financial industry. Conversely, financial questions have stimulated new research directions in probability. In this survey paper, we review some of these...

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...