AuthorDelbaen, Freddy
TitleThe mathematics of arbitrage / Freddy Delbaen, Walter Schachermeyer
Imprint Berlin : Springer, c2006
Descript xvi, 373 p. ; 25 cm

CONTENT

Story in a nutshell -- Models of financial markets on finite probability spaces -- Utility maximisation on finite probability spaces -- Bachelier and Black-Scholes -- Kreps-Yan theorem -- Dalang-Morton-Willinger theorem -- Primer in stochastic integration -- Arbitrage theory in continuous time : an overview -- General version of the fundamental theorem of asset pricing (1994) -- Simple counter-example to several problems in the theory of asset pricing (1998) -- No-arbitrage property under a change of numeraire (1995) -- Existence of absolutely continuous local Martingale measures (1995) -- Banach space of workable contingent claims in arbitrage theory (1997) -- Fundamental theorem of asset pricing for unbounded stochastic processes (1998) -- Compactness principle for bounded sequences of Martingales with applications (1999)


Arbitrage -- Mathematical models Derivative securities -- Prices -- Mathematical models Hedging (Finance)

LOCATIONCALL#STATUS
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