Del i serien Springer Finance

Mathematics of Arbitrage

Häftad, Engelska, 2010

AvFreddy Delbaen,Walter Schachermayer

1 839 kr

Beställningsvara. Skickas inom 10-15 vardagar. Fri frakt för medlemmar vid köp för minst 249 kr.

Finns i fler format (1)

Inbunden

1 839 kr

Skickas inom 10-15 vardagar

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.

Produktinformation

Utgivningsdatum2010-02-12
Mått155 x 235 x 22 mm
Vikt593 g
FormatHäftad
SpråkEngelska
SerieSpringer Finance
Antal sidor371
FörlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN9783642060304

Tillhör följande kategorier

Walter Schachermeyer, born in 1950 in Linz, Austria, has received--as the first mathematician--the 1998 Wittgenstein Award, Austria's highest honor for scienctific achievement. Since 1998 he holds the Chair for Actuarial and Financial Mathematics at the Vienna University of Technolgoy. Among his achievements is the proof of the "Fundamental Theorem of Asset Pricing" in its general form, which was done in joint work with Freddy Delbaen. Freddy Delbaen, born in 1946 in Duffel/Antwerpen, Belgium, is Professor for Financial Mathematics at the ETH in Zurich since 1995.

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).

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)