Humboldt Universität zu Berlin
Institut für Mathematik
Bereich Stochastik

Hans Föllmer

Professor of Mathematics (Stochastics and Mathematical Finance)


Recent publications:

(with Alexander Schied) Stochastic Finance. An Introduction in Discrete Time







Stochastic Finance: An Introduction in Discrete Time
 New: Third revised and extended edition

xii + 544 pp., published January 2011

- now with more than 100 exercises

- new chapter on dynamic risk measures

- new sections on robust utility maximization and on efficient hedging with convex risk measures





Russian edition, 496 pp.,  MCCME, Moscow, ISBN 978-5-94057-346-3, published February 2008

Translated by Yuliya Mishura and Georgiy Shevshenko






• Second revised and extended edition, xi + 459 pp., published November 2004

• First edition, ix + 422 pp., published July 2002

de Gruyter Studies in Mathematics 27

    


•  Shifting Martingale Measures and the Birth of a Bubble as a Submartingale (with Francesca Biagini and Sorin Nedelcu)
To appear in: Finance and Stochastics
[pdf (609 KB)]

•  Spatial Risk Measures and their Local Specification: The Locally Law-Invariant Case.
To appear in: Statistics & Risk Modeling
[pdf (369 KB)]

•  Probabilistic aspects of finance (with Alexander Schied)
Bernoulli, Vol. 19, No. 4, 1306-1326 (2013)
[ssrn.com ]

•  Convex Risk Measures: Basic Facts, Law-invariance and beyond, Asymptotics for Large Portfolios (with Thomas Knispel)
Handbook of the Fundamentals of Financial Decision Making, Part II, 507 - 554, Eds. L.C. MacLean and W.T. Ziemba, World Scientific (2013)
[pdf (742 KB)]

•  Convex Capital Requirements for Large Portfolios (with Thomas Knispel)
In: Stochastic Analysis and its Applications to Mathematical Finance, Essays in Honour of Jia-an Yan, Eds. T. Zhang and X. Y. Zhou, World Scientific (2011)
[pdf (623 KB)]

•  Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles (with Beatrice Acciaio and Irina Penner)
Finance and Stochastics, Vol. 16, No. 4, 669 - 709 (2012)
[pdf (488 KB)]

•  Entropic risk measures: coherence vs. convexity, model ambiguity, and robust large deviations (with Thomas Knispel)
Stochastics and Dynamics, Vol. 11, Nos. 2&3, 333 - 351 (2011)
[pdf (408 KB)]

•  Monetary valuation of cash flows under Knightian uncertainty (with Irina Penner)
Int. J. Theor. Appl. Finance, Vol. 14, No. 1, 1 - 15 (2011)
[pdf (190 KB)]

•  Local Martingales and Filtration Shrinkage (with Ph. Protter)
ESAIM Probability and Statistics, Vol. 15 (special volume in honour of Marc Yor), 25 - 38 (2011)
[pdf (393 KB)]

•  Convex and Coherent Risk Measures (with A.Schied)
Encyclopedia of Quantitative Finance, Cont, R. (Ed.). John Wiley & Sons, pp. 355-363 (2010)
[pdf (150 KB)]

•  The Minimal Martingale Measure (with M. Schweizer)
Encyclopedia of Quantitative Finance, Cont, R. (Ed.). John Wiley & Sons, pp. 1200-1204 (2010)
[pdf (168 KB)]

•  Alles richtig und trotzdem falsch? Anmerkungen zur Finanzkrise und zur Finanzmathematik
Mitteilungen der DMV 17, 148 - 154 (2009)
[pdf (4,7 MB)]

•  Robust preferences and robust portfolio choice (with A. Schied and S. Weber)
Handbook of Numerical Analysis, XV, Bensoussan & Zhang (Editors), Mathematical Modeling and Numerical Methods in Finance, 29-89, (2009)
[pdf]

•  Asymptotic Arbitrage and Large Deviations (with W. Schachermayer)
Mathematics and Financial Economics 1 (3-4), 213-249 (2008)
[postscript (544K) pdf (328K)]

•  On Kiyosi Itô's work and its impact
Gauss Lecture at the ICM 2006
Proceedings of the International Congress of Mathematicians, Madrid 2006, Vol. I, 109-124
European Mathematical Society Publishing House (2007)
[postscript (2.6M) pdf (964K)]

•  A Representation of Excessive Functions as Expected Suprema (with T. Knispel)
Probability and Mathematical Statistics 26(2), 379-394, Volume in honor of Kazimierz Urbanik (2006)
[postscript (437K) pdf (233K)]

•  Potentials of a Markov Process are Expected Suprema (with T. Knispel)
ESAIM Probability and Statistics 11, 89-101
Special Issue: "Stochastic analysis and mathematical finance" in honor of Nicole El Karoui's 60th birthday (2007)
[postscript (442K) pdf (233k)]
The original publication is available at http://www.edpscience.org/ps

•  Convex risk measures and the dynamics of their penalty functions (with I. Penner)
Statistics & Decisions 24(1),61-96, (2006)
[postscript (469) | pdf (262K)]

•  Robust Projections in the Class of Martingale Measures (with A. Gundel)
Illinois Journal of Mathematics; vol. 50 no. 2, 439-472 (2006)
[pdf (299K)]

•  Incertitude financière, mesures de risque et préférences robustes
Actes du colloque "Aspects des mathématiques financières", 5-18, Académie des Sciences Paris (Ed. M. Yor), Lavoisier 2006
[postscript (217K) | pdf (124K)]
English version: Financial Uncertainty, risk measures, and robust preferences.
In: "Aspects of Mathematical Finance" (Ed. M. Yor), 3-15, Springer: Berlin (2008)
[pdf (9410K)]

•  A non-linear Riesz representation in probabilistic potential theory (with N. El Karoui)
Annales de l'Institut Henri Poincare (B) Probability and Statistics 4, 41(3), pp.269-283 (2004)
[postscript (200K) | pdf (203K)]

• Equilibria in Financial Markets with Heterogeneous Agents: A Probabilistic Perspective (with U. Horst and A. Kirman )
Journal of Mathematical Economics 41 (1-2), 123-155, (2005)
[postscript (644K) | pdf (337K)]

• complete list