The mathematics of arbitrage
In 1973 F. Black and M. Scholes published their pathbreaking paper [BS73] onoptionpricing. Thekeyidea attributedtoR. Mertoninafootnoteofthe Black-Scholes paper is the use of trading in continuous time and the notion of arbitrage. The simple and economically very convincing principle of - arbitrage a...
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| Autors principals: | , , |
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| Format: | Livre numérique |
| Idioma: | Anglais |
| Publicat: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Col·lecció: | Springer finance
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| Matèries: | |
| Accés en línia: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
Description d'après consultation du 28 avril 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • The mathematics of arbitrage, Freddy Delbaen, Walter Schachermayer, 2006, Berlin, Springer, 1 vol. (XVI-373 p.), Springer finance, 978-3-540-21992-7 |
| Sumari: | In 1973 F. Black and M. Scholes published their pathbreaking paper [BS73] onoptionpricing. Thekeyidea attributedtoR. Mertoninafootnoteofthe Black-Scholes paper is the use of trading in continuous time and the notion of arbitrage. The simple and economically very convincing principle of - arbitrage allows one to derive, in certain mathematical models of ?nancial markets(suchastheSamuelsonmodel,[S65],nowadaysalsoreferredtoasthe Black-Scholes model, based on geometric Brownian motion), unique prices for options and other contingent claims. This remarkable achievement by F. Black, M. Scholes and R. Merton had a profound e?ect on ?nancial markets and it shifted the paradigm of de- ing with ?nancial risks towards the use of quite sophisticated mathematical models. It was in the late seventies that the central role of no-arbitrage ar- ments was crystallised in three seminal papers by M. Harrison, D. Kreps and S. Pliska ([HK79], [HP81], [K81]) They considered a general framework, which allows a systematic study of di?erent models of ?nancial markets. The Black-Scholes model is just one, obviously very important, example emb- ded into the framework of a general theory. A basic insight of these papers was the intimate relation between no-arbitrage arguments on one hand, and martingale theory on the other hand. This relation is the theme of the F- damental Theorem of Asset Pricing (this name was given by Ph. Dybvig and S. Ross [DR87]), which is not just a single theorem but rather a general principle to relate no-arbitrage with martingale theory |
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| Descripció de l’ítem: | Description d'après consultation du 28 avril 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Bibliografia: | Bibliogr. p. [359]-373 |
| ISBN: | 9783540312994 |
| Accés: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |