The Mathematics of Arbitrage [electronic resource] /
Delbaen, Freddy.author.
Schachermayer, Walter.author.
Aims at a mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of 'no arbitrage'. The first part presents an elementary introduction. The second part consists of seven research papers by the authors, which analyse the topic in the general framework of semi-martingale theory.
Description based upon print version of record.
Aims at a mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of 'no arbitrage'. The first part presents an elementary introduction. The second part consists of seven research papers by the authors, which analyse the topic in the general framework of semi-martingale theory.
Includes bibliographical references (p. [359]-373).
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).
Economics, Mathematical .
Probabilities.
Operator theory.
Functional analysis.
Finance.
Quantitative Finance.
Probability Theory and Stochastic Processes.
Operator Theory.
Functional Analysis.
Finance, general.
Springer finance