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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| Fformat: | Livre numérique |
| Iaith: | Anglais |
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Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Cyfres: | Springer finance
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| Mynediad Ar-lein: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
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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 |
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| 008 | 080410q2000 xxe ||| |||| 00| 0 eng d | ||
| 009 | PPN123122163 | ||
| 020 | |a 9783540312994 | ||
| 041 | 0 | |a eng | |
| 082 | |a 519 | ||
| 084 | |a M13062. 2000 | ||
| 084 | |a M27004. 2000 | ||
| 084 | |a M12066. 2000 | ||
| 100 | 1 | |a Delbaen, Freddy. | |
| 245 | 1 | 0 | |a The mathematics of arbitrage |c Freddy Delbaen, Walter Schachermayer. |
| 260 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 1 | |a Springer finance | |
| 500 | |a Description d'après consultation du 28 avril 2011 | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 504 | |a Bibliogr. p. [359]-373 | ||
| 505 | 1 | |a 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) | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a 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 | ||
| 650 | |a Mathématiques financières | ||
| 650 | |a Instruments dérivés (finances) |x Modèles mathématiques | ||
| 650 | |a Probabilités | ||
| 700 | 1 | |a Schachermayer, Walter, |d 1950-...., |c mathématicien. |4 aut | |
| 700 | 1 | |a Schachermayer, Walter. |4 aut | |
| 776 | 0 | |0 098968092 |t The mathematics of arbitrage |f Freddy Delbaen, Walter Schachermayer |d 2006 |c Berlin |n Springer |p 1 vol. (XVI-373 p.) |s Springer finance |z 978-3-540-21992-7 | |
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