The mathematics of arbitrage

This long-awaited book aims at a rigorous mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of 'no arbitrage'. The first part presents a relatively elementary introduction, restricting itself to the case of finite probability spaces. The second part consists of an updated edition of seven original research papers by the authors, which analyse the topic in the general framework of semi-martingale theory. TOC:Models on Finite Probability Spaces.- The Kreps-Yan Theorem.- The Dalang-Morton-Willinger-Theorem.- The Continuous Time Model.- Bachelier and the Black-Scholes.- The No-Arbitrage Theory for General Processes.- A General Version of Fundamental Theorem of Asset Pricing.- The Fundamental Theorem of Asset Pricing for Unbounded Stochastic Processes.- A Compactness Principle for Bounded Sequences of Martingales with Applications.- The Banach Space Workable Contingent Claims in Arbitrage Theory.- The Existence of Absolutely Continuous Local Martingale Measures.- The No-Arbitrage Property Under a Change of Numéraire.- A Simple Counter-Example to Several Problems in the Theory of Asset Pricing, Which Arises in Many Incomplete Markets

Show object

• Location: Deutsche Nationalbibliothek Frankfurt am Main
• ISBN: 9783540219927 ; 3540219927
• Dimensions: 24 cm
• Extent: XVI, 373 S.
• Language: Englisch
• Notes: Literaturverz. S. 359 - 373

Classification and Topics

• Classification: Wirtschaft
• Keyword: Capital-Asset-Pricing-Modell ; Arbitrage-Pricing-Theorie ; Stochastisches Modell ; Semimartingal

Contributors, Places and Time

• Event: Veröffentlichung
• (where): Berlin, Heidelberg, New York
• (who): Springer
• (when): 2006
• Creator: Delbaen, Freddy ; Schachermayer, Walter

Further information

• Table of contents: https://d-nb.info/973658010/04
• Rights: Bei diesem Objekt liegt nur das Inhaltsverzeichnis digital vor. Der Zugriff darauf ist unbeschränkt möglich.