Beschreibung
InhaltsangabeA Guided Tour to Arbitrage Theory.- The Story in a Nutshell.- Models of Financial Markets on Finite Probability Spaces.- Utility Maximisation on Finite Probability Spaces.- Bachelier and Black-Scholes.- The Kreps-Yan Theorem.- The Dalang-Morton-Willinger Theorem.- A Primer in Stochastic Integration.- Arbitrage Theory in Continuous Time: an Overview.- The Original Papers.- A General Version of the Fundamental Theorem of Asset Pricing (1994).- A Simple Counter-Example to Several Problems in the Theory of Asset Pricing (1998).- The No-Arbitrage Property under a Change of Numéraire (1995).- The Existence of Absolutely Continuous Local Martingale Measures (1995).- The Banach Space of Workable Contingent Claims in Arbitrage Theory (1997).- The Fundamental Theorem of Asset Pricingfor Unbounded Stochastic Processes (1998).- A Compactness Principle for Bounded Sequences of Martingales with Applications (1999).
Inhaltsverzeichnis
Models on Finite Probability Spaces.- The Kreps-Yan Theorem.- The Dalang-Morton-Willinger-Theorem.- The Continuous Time Model.- Bachelier and the Black-Scholes.- The No-Arbitrage Theory for General Processes.- A General Version of Fundamental Theorem of Asset Pricing.- The Fundamental Theorem of Asset Pricing for Unbounded Stochastic Processes.- A Compactness Principle for Bounded Sequences of Martingales with Applications.- The Banach Space Workable Contingent Claims in Arbitrage Theory.- The Existence of Absolutely Continuous Local Martingale Measures.- The No-Arbitrage Property Under a Change of Numeraire.- A Simple Counter-Example to Several Problems in the Theory of Asset Pricing, Which Arises in Many Incomplete Markets.
