The mathematics of arbitrage
This 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...
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| Format: | Buch |
| Sprache: | English |
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Berlin [u.a.]
Springer
2006
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| Schriftenreihe: | Springer finance
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| 100 | 1 | |a Delbaen, Freddy |d 1946- |e Verfasser |0 (DE-588)130654051 |4 aut | |
| 245 | 1 | 0 | |a The mathematics of arbitrage |c Freddy Delbaen ; Walter Schachermayer |
| 264 | 1 | |a Berlin [u.a.] |b Springer |c 2006 | |
| 300 | |a XVI, 373 S. | ||
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| 490 | 0 | |a Springer finance | |
| 520 | |a This 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. TOC:Models on Finite Probability Spaces.- The 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 | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Arbitrage |x Mathematical models | |
| 650 | 4 | |a Derivative securities |x Prices |x Mathematical models | |
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Datensatz im Suchindex
| DE-473_call_number | 31/QK 622 WX 37039 |
|---|---|
| DE-473_location | 3 |
| DE-BY-TUM_call_number | 0102/WIR 170 2006 A 660 0102/WIR 170 2006 A 660+2 |
| DE-BY-TUM_katkey | 1497733 |
| DE-BY-TUM_media_number | 040020291261 040020290271 |
| DE-BY-UBG_katkey | 2197842 |
| DE-BY-UBG_media_number | 013106595018 |
| _version_ | 1816712465878089728 |
| adam_text | Contents
Part I A Guided Tour to Arbitrage Theory
1
1.1
1.2
1.3
1.4
1.5
1.6
2
2.1
2.2
2.3
2.4
2.5
2.6
3
3.1
3.2
3.3
4
4.1
4.2
4.3
4.4
XIV Contents
5 The Kreps-Yan Theorem.................................. 71
5.1
5.2
6 The Dalang-Morton-Willinger Theorem ................... 85
6.1 Statement
6.2
6.3
6.4
6.5
6.6
6.7
by Induction on
6.8
6.9
under the (NA) Condition
6.10
using the Closedness of
6.11
7
7.1
7.2
7.3
8
8.1
8.2
8.3
Part II The Original Papers
9
of Asset Pricing
9.1
9.2
9.3
9.4
9.5
9.6
9.7
9.8
Contents
10
in
10.1
10.2
10.3
11
under a Change of
11.1
11.2
11.3
11.4
12
Local Martingale Measures
12.1
12.2
12.3
12.4
Local Martingale Measure
13
in Arbitrage Theory
13.1
13.2
13.3
by Maximal Contingent Claims
13.4
13.5
on the Set Me
13.6
13.7
14
for Unbounded Stochastic Processes
14.1
14.2
14.3
14.4
14.5
15
of Martingales with Applications
15.1
15.2
XVI Contents
15.3 An
15.4
for Bounded Subsets of H1
15.4.1
15.4.2
15.4.3
15.4.4
15.4.5
15.5
Part III Bibliography
References
F. Delbaen •
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.
|
| any_adam_object | 1 |
| author | Delbaen, Freddy 1946- Schachermayer, Walter 1950- |
| author_GND | (DE-588)130654051 (DE-588)109743881 |
| author_facet | Delbaen, Freddy 1946- Schachermayer, Walter 1950- |
| author_role | aut aut |
| author_sort | Delbaen, Freddy 1946- |
| author_variant | f d fd w s ws |
| building | Verbundindex |
| bvnumber | BV019733947 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.A3 |
| callnumber-search | HG6024.A3 |
| callnumber-sort | HG 46024 A3 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 622 SK 980 SK 820 |
| classification_tum | WIR 170f |
| ctrlnum | (OCoLC)181444182 (DE-599)BVBBV019733947 |
| dewey-full | 332.645015192 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.645015192 |
| dewey-search | 332.645015192 |
| dewey-sort | 3332.645015192 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV019733947 |
| illustrated | Not Illustrated |
| indexdate | 2024-11-25T17:26:05Z |
| institution | BVB |
| isbn | 3540219927 9783540219927 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-013060790 |
| oclc_num | 181444182 |
| open_access_boolean | |
| owner | DE-91G DE-BY-TUM DE-824 DE-29T DE-703 DE-20 DE-355 DE-BY-UBR DE-473 DE-BY-UBG DE-19 DE-BY-UBM DE-N2 DE-83 DE-11 DE-188 DE-521 DE-384 |
| owner_facet | DE-91G DE-BY-TUM DE-824 DE-29T DE-703 DE-20 DE-355 DE-BY-UBR DE-473 DE-BY-UBG DE-19 DE-BY-UBM DE-N2 DE-83 DE-11 DE-188 DE-521 DE-384 |
| physical | XVI, 373 S. |
| publishDate | 2006 |
| publishDateSearch | 2006 |
| publishDateSort | 2006 |
| publisher | Springer |
| record_format | marc |
| series2 | Springer finance |
| spellingShingle | Delbaen, Freddy 1946- Schachermayer, Walter 1950- The mathematics of arbitrage Mathematisches Modell Arbitrage Mathematical models Derivative securities Prices Mathematical models Hedging (Finance) Semimartingal (DE-588)4180967-1 gnd Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd Stochastisches Modell (DE-588)4057633-4 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| subject_GND | (DE-588)4180967-1 (DE-588)4112584-8 (DE-588)4057633-4 (DE-588)4121078-5 |
| title | The mathematics of arbitrage |
| title_auth | The mathematics of arbitrage |
| title_exact_search | The mathematics of arbitrage |
| title_full | The mathematics of arbitrage Freddy Delbaen ; Walter Schachermayer |
| title_fullStr | The mathematics of arbitrage Freddy Delbaen ; Walter Schachermayer |
| title_full_unstemmed | The mathematics of arbitrage Freddy Delbaen ; Walter Schachermayer |
| title_short | The mathematics of arbitrage |
| title_sort | the mathematics of arbitrage |
| topic | Mathematisches Modell Arbitrage Mathematical models Derivative securities Prices Mathematical models Hedging (Finance) Semimartingal (DE-588)4180967-1 gnd Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd Stochastisches Modell (DE-588)4057633-4 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| topic_facet | Mathematisches Modell Arbitrage Mathematical models Derivative securities Prices Mathematical models Hedging (Finance) Semimartingal Arbitrage-Pricing-Theorie Stochastisches Modell Capital-Asset-Pricing-Modell |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013060790&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013060790&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
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