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The Mathematics of Arbitrage de Freddy Delbaen

The Mathematics of Arbitrage: Springer Finance

Autor Freddy Delbaen, Walter Schachermayer
en Limba Engleză Hardback – 16 dec 2005
Presents a mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of no arbitrage. This title consists of seven papers, which analyzes the topic in the general framework of semi-martingale theory.
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Specificații

ISBN-13: 9783540219927
ISBN-10: 3540219927
Pagini: 392
Ilustrații: XVI, 371 p.
Dimensiuni: 155 x 235 x 27 mm
Greutate: 0.71 kg
Ediția:2006
Editura: Springer Berlin, Heidelberg
Colecția Springer
Seria Springer Finance

Locul publicării:Berlin, Heidelberg, Germany

Public țintă

Professional/practitioner

Cuprins

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).

Recenzii

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)

Notă biografică

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.

Caracteristici

The fundamental theorem of Asset Pricing due to 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 2 authors of this book Embeds highest-level research results into a treatment amenable to graduate students, with introductory, explanatory background Long-awaited in the quantitative finance community Includes supplementary material: sn.pub/extras