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The Mathematics of Arbitrage Pricing

An Introduction in Finite Dimensions

Authors: Koch-Medina, Pablo, Munari, Cosimo-Andrea

  • Mathematically rigorous and comprehensive introduction to arbitrage pricing in single- and multi-period models, including sub and super hedging in incomplete markets
  • Careful selection of exercises
  • Accessibility of topics by fully developing the necessary material from probability theory, convex analysis and the theory of positive linear functionals
  • Solid foundation in terms of financial concepts and intuition in a finite dimensional setting ​
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  • ISBN 978-3-030-39724-1
  • ウォーターマーク付、 DRMフリー
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ソフトカバー 約 ¥8,423
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
  • 予定日: August 6, 2020
  • ISBN 978-3-030-39722-7
  • 個人のお客様には、世界中どこでも配送料無料でお届けします。
この教本について

The theory of arbitrage provides the foundation for the pricing of financial derivatives and has become indispensable in both financial theory and financial practice. This textbook offers a rigorous and comprehensive introduction to the mathematics of arbitrage pricing in a discrete-time, finite-state economy in which a finite number of securities are traded. In a first step, various versions of the Fundamental Theorem of Asset Pricing, i.e., characterizations of when a market does not admit arbitrage opportunities, are proved. The focus then shifts to incomplete markets, where the main concern is to obtain a precise description of the set of “market-consistent” prices for nontraded payoffs, i.e., the set of prices at which a nontraded security could be transacted between rational agents. Both European-type and American-type contracts are considered. A distinguishing feature of this book is its emphasis on market-consistent prices and a systematic description of pricing rules, also at intermediate dates. The benefits of this approach are most evident in the treatment of American options, which is novel in terms of both the presentation and scope, while also presenting new results.

The focus on discrete-time, finite-state models makes it possible to cover all relevant topics while requiring only a moderate mathematical background on the part of the reader. The book will appeal to financial economics students seeking an elementary but rigorous introduction to the subject; mathematics and physics students looking for an opportunity to get acquainted with a modern applied topic; and mathematicians, physicists and quantitatively inclined economists working or planning to work in the financial industry.

 

著者について

Pablo Koch-Medina is Professor of Finance and Insurance at the University of Zurich and Director of the Center for Finance and Insurance at the same university. He studied mathematics at the Universities of Leiden and Zurich and holds a PhD in mathematics from the University of Zurich.  

Cosimo Munari is Professor of Finance and Insurance at the University of Zurich. He studied mathematics at the University of Milan and Finance at Collegio Carlo Alberto in Turin and holds a PhD in mathematics from the Swiss Federal Institute of Technology in Zurich.


書籍の購入

イーブック  
  • ISBN 978-3-030-39724-1
  • ウォーターマーク付、 DRMフリー
  • ファイル形式:
  • どの電子書籍リーダーからでもすぐにお読みいただけます。
ソフトカバー 約 ¥8,423
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
  • 予定日: August 6, 2020
  • ISBN 978-3-030-39722-7
  • 個人のお客様には、世界中どこでも配送料無料でお届けします。

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書誌情報

Bibliographic Information
Book Title
The Mathematics of Arbitrage Pricing
Book Subtitle
An Introduction in Finite Dimensions
Authors
Copyright
2020
Publisher
Birkhäuser Basel
Copyright Holder
Springer Nature Switzerland AG
イーブック ISBN
978-3-030-39724-1
ソフトカバー ISBN
978-3-030-39722-7
Edition Number
1
Topics