The Mathematics of Arbitrage

Name: The Mathematics of Arbitrage
Author: Freddy Delbaen

Paperback Engels 2010 9783642060304

Verwachte levertijd ongeveer 9 werkdagen

144,99

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Samenvatting

Proof of the "Fundamental Theorem of Asset Pricing" in its general form by Delbaen and Schachermayer was a milestone in the history of modern mathematical finance and now forms the cornerstone of this book.

Puts into book format a series of major results due mostly to the authors of this book.

Embeds highest-level research results into a treatment amenable to graduate students, with introductory, explanatory background.

Awaited in the quantitative finance community.

Specificaties

ISBN13:9783642060304

Taal:Engels

Bindwijze:paperback

Aantal pagina's:371

Uitgever:Springer Berlin Heidelberg

Druk:0

Hoofdrubriek:Financieel management, Financieel management

Serie:Springer Finance

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Inhoudsopgave

A Guided Tour to Arbitrage Theory.- The Story in a Nutshell.- Models of Financial Markets on Finite Probability Spaces.- Utility Maximisation on Finite Probability Spaces.- Bachelier and Black-Scholes.- The Kreps-Yan Theorem.- The Dalang-Morton-Willinger Theorem.- A Primer in Stochastic Integration.- Arbitrage Theory in Continuous Time: an Overview.- The Original Papers.- A General Version of the Fundamental Theorem of Asset Pricing (1994).- A Simple Counter-Example to Several Problems in the Theory of Asset Pricing (1998).- The No-Arbitrage Property under a Change of Numéraire (1995).- The Existence of Absolutely Continuous Local Martingale Measures (1995).- The Banach Space of Workable Contingent Claims in Arbitrage Theory (1997).- The Fundamental Theorem of Asset Pricingfor Unbounded Stochastic Processes (1998).- A Compactness Principle for Bounded Sequences of Martingales with Applications (1999).