Logo - springer
Slogan - springer

Mathematics - Quantitative Finance | The Mathematics of Arbitrage

The Mathematics of Arbitrage

Delbaen, Freddy, Schachermayer, Walter

2006, XVI, 373 p.

Available Formats:
eBook
Information

Springer eBooks may be purchased by end-customers only and are sold without copy protection (DRM free). Instead, all eBooks include personalized watermarks. This means you can read the Springer eBooks across numerous devices such as Laptops, eReaders, and tablets.

You can pay for Springer eBooks with Visa, Mastercard, American Express or Paypal.

After the purchase you can directly download the eBook file or read it online in our Springer eBook Reader. Furthermore your eBook will be stored in your MySpringer account. So you can always re-download your eBooks.

 
$79.99

(net) price for USA

ISBN 978-3-540-31299-4

digitally watermarked, no DRM

Included Format: PDF

download immediately after purchase


learn more about Springer eBooks

add to marked items

Hardcover
Information

Hardcover version

You can pay for Springer Books with Visa, Mastercard, American Express or Paypal.

Standard shipping is free of charge for individual customers.

 
$109.00

(net) price for USA

ISBN 978-3-540-21992-7

free shipping for individuals worldwide

usually dispatched within 3 to 5 business days


add to marked items

Softcover
Information

Softcover (also known as softback) version.

You can pay for Springer Books with Visa, Mastercard, American Express or Paypal.

Standard shipping is free of charge for individual customers.

 
$109.00

(net) price for USA

ISBN 978-3-642-06030-4

free shipping for individuals worldwide

usually dispatched within 3 to 5 business days


add to marked items

In 1973 F. Black and M. Scholes published their pathbreaking paper [BS73] onoptionpricing. Thekeyidea—attributedtoR. Mertoninafootnoteofthe Black-Scholes paper — is the use of trading in continuous time and the notion of arbitrage. The simple and economically very convincing “principle of - arbitrage” allows one to derive, in certain mathematical models of ?nancial markets(suchastheSamuelsonmodel,[S65],nowadaysalsoreferredtoasthe “Black-Scholes” model, based on geometric Brownian motion), unique prices for options and other contingent claims. This remarkable achievement by F. Black, M. Scholes and R. Merton had a profound e?ect on ?nancial markets and it shifted the paradigm of de- ing with ?nancial risks towards the use of quite sophisticated mathematical models. It was in the late seventies that the central role of no-arbitrage ar- ments was crystallised in three seminal papers by M. Harrison, D. Kreps and S. Pliska ([HK79], [HP81], [K81]) They considered a general framework, which allows a systematic study of di?erent models of ?nancial markets. The Black-Scholes model is just one, obviously very important, example emb- ded into the framework of a general theory. A basic insight of these papers was the intimate relation between no-arbitrage arguments on one hand, and martingale theory on the other hand. This relation is the theme of the “F- damental Theorem of Asset Pricing” (this name was given by Ph. Dybvig and S. Ross [DR87]), which is not just a single theorem but rather a general principle to relate no-arbitrage with martingale theory.

Content Level » Professional/practitioner

Keywords » Arbitrage - Black-Scholes - Finance - Hedging - JEL: G12, G13 - Martingale - Numéraire - Probability space - Stochastic Processes - change of numeraire - fundamental theorem of asset pricing - local martingale - stochastic process - superreplication

Related subjects » Analysis - Finance & Banking - Probability Theory and Stochastic Processes - Quantitative Finance

Table of contents / Preface / Sample pages 

Popular Content within this publication 

 

Articles

Read this Book on Springerlink

Services for this book

New Book Alert

Get alerted on new Springer publications in the subject area of Quantitative Finance.