The Mathematics Of Arbitrage PDF Book

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The Mathematics of Arbitrage

Author : Freddy Delbaen,Walter Schachermayer
Publisher : Springer Science & Business Media
Release : 2006-02-14
Category : Mathematics
ISBN : 3540312994
File Size : 32,8 Mb
Total Download : 354

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Book Summary: 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.

Portfolio Theory and Arbitrage: A Course in Mathematical Finance

Author : Ioannis Karatzas,Constantinos Kardaras
Publisher : American Mathematical Soc.
Release : 2021-09-20
Category : Education
ISBN : 9781470465988
File Size : 29,8 Mb
Total Download : 393

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Book Summary: This book develops a mathematical theory for finance, based on a simple and intuitive absence-of-arbitrage principle. This posits that it should not be possible to fund a non-trivial liability, starting with initial capital arbitrarily near zero. The principle is easy-to-test in specific models, as it is described in terms of the underlying market characteristics; it is shown to be equivalent to the existence of the so-called “Kelly” or growth-optimal portfolio, of the log-optimal portfolio, and of appropriate local martingale deflators. The resulting theory is powerful enough to treat in great generality the fundamental questions of hedging, valuation, and portfolio optimization. The book contains a considerable amount of new research and results, as well as a significant number of exercises. It can be used as a basic text for graduate courses in Probability and Stochastic Analysis, and in Mathematical Finance. No prior familiarity with finance is required, but it is assumed that readers have a good working knowledge of real analysis, measure theory, and of basic probability theory. Familiarity with stochastic analysis is also assumed, as is integration with respect to continuous semimartingales.

Arbitrage Theory in Continuous Time

Author : Tomas Björk
Publisher : Oxford University Press
Release : 2009-08-06
Category : Business & Economics
ISBN : 9780199574742
File Size : 36,9 Mb
Total Download : 106

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Book Summary: The third edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sound mathematical principles with economic applications.Concentrating on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal control theory and Merton's fund separation theory, the book is designed for graduate students and combines necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter.In this substantially extended new edition Bjork has added separate and complete chapters on the martingale approach to optimal investment problems, optimal stopping theory with applications to American options, and positive interest models and their connection to potential theory and stochastic discount factors.More advanced areas of study are clearly marked to help students and teachers use the book as it suits their needs.

Introduction to the Mathematics of Finance

Author : Steven Roman
Publisher : Springer Science & Business Media
Release : 2013-12-01
Category : Mathematics
ISBN : 9781441990051
File Size : 15,9 Mb
Total Download : 662

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Book Summary: An elementary introduction to probability and mathematical finance including a chapter on the Capital Asset Pricing Model (CAPM), a topic that is very popular among practitioners and economists. Dr. Roman has authored 32 books, including a number of books on mathematics, such as Coding and Information Theory, Advanced Linear Algebra, and Field Theory, published by Springer-Verlag.

Market-Consistent Prices

Author : Pablo Koch-Medina,Cosimo Munari
Publisher : Springer Nature
Release : 2020-07-16
Category : Mathematics
ISBN : 9783030397241
File Size : 39,9 Mb
Total Download : 154

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Book Summary: Arbitrage Theory 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 book then focuses on incomplete markets where the main concern is to obtain a precise description of the set of “market-consistent” prices for nontraded financial contracts, i.e. the set of prices at which such contracts 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 the 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 mathematical finance and 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.

An Introduction to the Mathematics of Financial Derivatives

Author : Salih N. Neftci
Publisher : Academic Press
Release : 2000-05-19
Category : Business & Economics
ISBN : 9780125153928
File Size : 11,9 Mb
Total Download : 102

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Book Summary: This popular text, publishing Spring 1999 in its Second Edition, introduces the mathematics underlying the pricing of derivatives. The increase of interest in dynamic pricing models stems from their applicability to practical situations: with the freeing of exchange, interest rates, and capital controls, the market for derivative products has matured and pricing models have become more accurate. Professor Neftci's book answers the need for a resource targeting professionals, Ph.D. students, and advanced MBA students who are specifically interested in these financial products. The Second Edition is designed to make the book the main text in first year masters and Ph.D. programs for certain courses, and will continue to be an important manual for market professionals.

Mathematics for Finance

Author : Marek Capinski,Tomasz Zastawniak
Publisher : Springer
Release : 2006-04-18
Category : Business & Economics
ISBN : 9781852338466
File Size : 33,9 Mb
Total Download : 636

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Book Summary: This textbook contains the fundamentals for an undergraduate course in mathematical finance aimed primarily at students of mathematics. Assuming only a basic knowledge of probability and calculus, the material is presented in a mathematically rigorous and complete way. The book covers the time value of money, including the time structure of interest rates, bonds and stock valuation; derivative securities (futures, options), modelling in discrete time, pricing and hedging, and many other core topics. With numerous examples, problems and exercises, this book is ideally suited for independent study.

Markets with Transaction Costs

Author : Yuri Kabanov,Mher Safarian
Publisher : Springer Science & Business Media
Release : 2009-12-04
Category : Business & Economics
ISBN : 9783540681212
File Size : 45,9 Mb
Total Download : 856

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Book Summary: The book is the first monograph on this highly important subject.