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This book presents a rigorous mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of "no arbitrage". The first part presents a relatively elementary introduction, restricting itself to the case of finite probability spaces. The second part consists of an updated edition of seven original research papers by the authors, which analyzes the topic in the general framework of semi-martingale theory.
Inhaltsverzeichnis
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).
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Produktdetails
Erscheinungsdatum
14. Februar 2006
Sprache
englisch
Seitenanzahl
371
Dateigröße
3,47 MB
Reihe
Mathematics and Statistics
Autor/Autorin
Freddy Delbaen, Walter Schachermayer
Verlag/Hersteller
Kopierschutz
mit Wasserzeichen versehen
Produktart
EBOOK
Dateiformat
PDF
ISBN
9783540312994
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From the reviews:
" As a learning device, I think this works really well. The second half of the book allows readers to `put to use the mathematics they learn in the first half. I really like the authors writing style. They provide plenty of intuitive insights and historical notes along the way as they formally develop concepts. I recommend it highly to theoretically-inclined financial engineers and researchers. " (www. riskbook. com, September, 2006)
" The aim of the book, as the authors state is to give the reader a guided tour through the mathematics of arbitrage. The book will be of invaluable help to new researchers in the area of incomplete markets. A new graduate student wishing to do such research would start by reading the papers in the book. She or he now has a very good book to assist this study. " (Angelos Dassios, Mathematical Reviews, Issue 2007 a)
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