The mathematics of arbitrage Delbaen, Freddy

By: Delbaen, Freddy
Contributor(s): Schachermayer, Walter
Series: Springer FinancePublisher: Heidelberg Springer 2006Description: xvi, 373 p.ISBN: 9783540219927Subject(s): Arbitrage - Mathematical models | Derivative securities - Prices - Mathematical models | Hedging (Finance)DDC classification: 332.645 Summary: This long-awaited book aims at a rigorous mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of 'no arbitrage'. The first part presents a relatively elementary introduction, restricting itself to the case of finite probability spaces. The second part consists of an updated edition of seven original research papers by the authors, which analyse the topic in the general framework of semi-martingale theory.
Tags from this library: No tags from this library for this title. Log in to add tags.
    Average rating: 0.0 (0 votes)
Item type Current location Item location Call number Status Date due Barcode
Books Vikram Sarabhai Library
Slot 715 (0 Floor, West Wing) 332.645 D3M2 (Browse shelf) Available 165999

This long-awaited book aims at a rigorous mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of 'no arbitrage'. The first part presents a relatively elementary introduction, restricting itself to the case of finite probability spaces. The second part consists of an updated edition of seven original research papers by the authors, which analyse the topic in the general framework of semi-martingale theory.

There are no comments for this item.

to post a comment.

Powered by Koha