The Mathematics of Arbitrage
  • Author : Freddy Delbaen
  • Release Date : 14 February 2006
  • Publisher : Springer Science & Business Media
  • Genre : Mathematics
  • Pages : 371
  • ISBN 13 : 3540312994
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The Mathematics of Arbitrage Book Summary

Proof of the "Fundamental Theorem of Asset Pricing" in its general form by Delbaen and Schachermayer was a milestone in the history of modern mathematical finance and now forms the cornerstone of this book. Puts into book format a series of major results due mostly to the authors of this book. Embeds highest-level research results into a treatment amenable to graduate students, with introductory, explanatory background. Awaited in the quantitative finance community.

The Mathematics of Arbitrage

The Mathematics of Arbitrage

Author : Freddy Delbaen,Walter Schachermayer
Publisher : Springer Science & Business Media
Genre : Mathematics
Total View : 5089 Views
File Size : 50,5 Mb
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Proof of the "Fundamental Theorem of Asset Pricing" in its general form by Delbaen and Schachermayer was a milestone in the history of modern mathematical finance and now forms the cornerstone of this book. Puts into book format a series of major results due mostly to the authors of this ...

Arbitrage Theory in Continuous Time

Arbitrage Theory in Continuous Time

Author : Tomas Björk
Publisher : Oxford University Press
Genre : Business & Economics
Total View : 3807 Views
File Size : 44,7 Mb
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This accessible introduction to the mathematical underpinnings of finance concentrates on the probabilistic theory of continuous arbitrage pricing of financial derivatives. It includes a solved example for every new technique presented, numerous exercises, and a Further Reading list in each chapter....

Portfolio Theory and Arbitrage  A Course in Mathematical Finance

Portfolio Theory and Arbitrage A Course in Mathematical Finance

Author : Ioannis Karatzas,Constantinos Kardaras
Publisher : American Mathematical Soc.
Genre : Education
Total View : 3258 Views
File Size : 50,6 Mb
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This book develops a mathematical theory for finance, based on a simple and intuitive absence-of-arbitrage principle. This posits that it should not be possible to fund a non-trivial liability, starting with initial capital arbitrarily near zero. The principle is easy-to-test in specific models, as it is described in terms of ...

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Author : Pablo Koch-Medina,Cosimo Munari
Publisher : Springer Nature
Genre : Mathematics
Total View : 4734 Views
File Size : 46,5 Mb
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Arbitrage Theory provides the foundation for the pricing of financial derivatives and has become indispensable in both financial theory and financial practice. This textbook offers a rigorous and comprehensive introduction to the mathematics of arbitrage pricing in a discrete-time, finite-state economy in which a finite number of securities are traded. ...

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Introduction to the Mathematics of Finance

Author : Steven Roman
Publisher : Springer Science & Business Media
Genre : Mathematics
Total View : 9656 Views
File Size : 53,8 Mb
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An elementary introduction to probability and mathematical finance including a chapter on the Capital Asset Pricing Model (CAPM), a topic that is very popular among practitioners and economists. Dr. Roman has authored 32 books, including a number of books on mathematics, such as Coding and Information Theory, Advanced Linear Algebra, and ...

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Author : Salih N. Neftci,Ali Hirsa,Salih N.. Neftci
Publisher : Academic Press
Genre : Business & Economics
Total View : 9522 Views
File Size : 42,5 Mb
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A step-by-step explanation of the mathematical models used to price derivatives. For this second edition, Salih Neftci has expanded one chapter, added six new ones, and inserted chapter-concluding exercises. He does not assume that the reader has a thorough mathematical background. His explanations of financial calculus seek to be simple ...

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Author : Ernst Eberlein,Jan Kallsen
Publisher : Springer Nature
Genre : Mathematics
Total View : 2995 Views
File Size : 42,6 Mb
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Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges ...

Markets with Transaction Costs

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Author : Yuri Kabanov,Mher Safarian
Publisher : Springer Science & Business Media
Genre : Business & Economics
Total View : 4071 Views
File Size : 42,5 Mb
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The book is the first monograph on this highly important subject....