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...
Tallennettuna:
| Päätekijät: | , , |
|---|---|
| Aineistotyyppi: | Livre numérique |
| Kieli: | Anglais |
| Julkaistu: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Sarja: | Springer finance
|
| Aiheet: | |
| Linkit: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Huomautus: |
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 |
Sisällysluettelo:
- 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)