The Mathematics of Arbitrage
(Sprache: Englisch)
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...
Puts into book format a series of major results...
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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 book.
Embeds highest-level research results into a treatment amenable to graduate students, with introductory, explanatory background.
Awaited in the quantitative finance community.
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.
Inhaltsverzeichnis zu „The Mathematics of Arbitrage “
- 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
Autoren-Porträt von Freddy Delbaen, Walter Schachermayer
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.
Bibliographische Angaben
- Autoren: Freddy Delbaen , Walter Schachermayer
- 2005, 2006, XVI, 371 Seiten, Maße: 16 x 24,1 cm, Gebunden, Englisch
- Verlag: Springer, Berlin
- ISBN-10: 3540219927
- ISBN-13: 9783540219927
- Erscheinungsdatum: 20.10.2011
Sprache:
Englisch
Rezension zu „The Mathematics of Arbitrage “
From the reviews:
Pressezitat
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)
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