Find your perfect holiday reading
Arbitrage Theory: Introductory Lectures on Arbitrage-Based Financial Asset Pricing - Lecture Notes in Economics and Mathematical Systems 245 (Paperback)
  • Arbitrage Theory: Introductory Lectures on Arbitrage-Based Financial Asset Pricing - Lecture Notes in Economics and Mathematical Systems 245 (Paperback)
zoom

Arbitrage Theory: Introductory Lectures on Arbitrage-Based Financial Asset Pricing - Lecture Notes in Economics and Mathematical Systems 245 (Paperback)

(author)
£64.99
Paperback 116 Pages / Published: 01/06/1985
  • We can order this

Usually dispatched within 3 weeks

  • This item has been added to your basket
The present 'Introductory Lectures on Arbitrage-based Financial Asset Pricing' are a first attempt to give a comprehensive presentation of Arbitrage Theory in a discrete time framework (by the way: all the re- sults given in these lectures apply to a continuous time framework but, probably, in continuous time we could achieve stronger results - of course at the price of stronger assumptions). It has been turned out in the last few years that capital market theory as derived and evolved from the capital asset pricing model (CAPM) in the middle sixties, can, to an astonishing extent, be based on arbitrage arguments only, rather than on mean-variance preferences of investors. On the other hand, ar- bitrage arguments provided access to a wider range of results which could not be obtained by standard CAPM-methods, e. g. the valuation of contingent claims (derivative assets) Dr the_ investigation of futures prices. To some extent the presentation will loosely follow historical lines. A selected set of capital asset pricing models will be derived according to their historical progress and their increasing complexity as well. It will be seen that they all share common structural properties. After having made this observation the presentation will become an axiomatical one: it will be stated in precise terms what arbitrage is about and what the consequences are if markets do not allow for risk-free arbitrage opportunities. The presentation will partly be accompanied by an illus- trating example: two-state option pricing.

Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN: 9783540152415
Number of pages: 116
Weight: 220 g
Dimensions: 235 x 155 x 7 mm
Edition: Softcover reprint of the original 1st ed. 198

You may also be interested in...

The Economist Numbers Guide 6th Edition
Added to basket
Linear Algebra
Added to basket
£31.49
Paperback
Essential Medical Statistics
Added to basket
Analytic Methods in Sports
Added to basket
Pharmaceutical Calculations Workbook
Added to basket
Probability and Stochastics
Added to basket
Financial Modeling
Added to basket
Why Cats Land on Their Feet
Added to basket
A Mathematician Plays the Market
Added to basket
Doing Bayesian Data Analysis
Added to basket
Chaos
Added to basket
£10.99
Paperback

Please sign in to write a review

Your review has been submitted successfully.