The Mathematics of Arbitrage [Hardback]by Freddy Delbaen and Walter Schachermayer
Usually ships within 6 to 8 working days Description of The Mathematics of ArbitrageThis long-awaited book aims at 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 analyse the topic in the general framework of semi-martingale theory.Title Information
Write a review of this book Customer Reviews from AmazonAbout Freddy Delbaen and Walter SchachermayerWalter 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.Contents of The Mathematics of ArbitrageModels on Finite Probability SpacesThe Kreps-Yan Theorem The Dalang-Morton-Willinger-Theorem The Continuous Time Model Bachelier and the Black-Scholes The No-Arbitrage Theory for General Processes A General Version of Fundamental Theorem of Asset Pricing The Fundamental Theorem of Asset Pricing for Unbounded Stochastic Processes A Compactness Principle for Bounded Sequences of Martingales with Applications The Banach Space Workable Contingent Claims in Arbitrage Theory The Existence of Absolutely Continuous Local Martingale Measures The No-Arbitrage Property Under a Change of Numéraire A Simple Counter-Example to Several Problems in the Theory of Asset Pricing, Which Arises in Many Incomplete Markets |
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