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© 2006

The Mathematics of Arbitrage

  • Authors
Book

Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages I-XVI
  2. A Guided Tour to Arbitrage Theory

    1. Front Matter
      Pages 1-1
    2. Freddy Delbaen, Walter Schachermayer
      Pages 3-9
    3. Freddy Delbaen, Walter Schachermayer
      Pages 11-32
    4. Freddy Delbaen, Walter Schachermayer
      Pages 33-56
    5. Freddy Delbaen, Walter Schachermayer
      Pages 57-69
    6. Freddy Delbaen, Walter Schachermayer
      Pages 71-83
    7. Freddy Delbaen, Walter Schachermayer
      Pages 85-109
    8. Freddy Delbaen, Walter Schachermayer
      Pages 111-128
    9. Freddy Delbaen, Walter Schachermayer
      Pages 129-146
  3. The Original Papers

    1. Front Matter
      Pages 147-147
    2. Freddy Delbaen, Walter Schachermayer
      Pages 149-205
    3. Freddy Delbaen, Walter Schachermayer
      Pages 217-230
    4. Freddy Delbaen, Walter Schachermayer
      Pages 231-250
    5. Freddy Delbaen, Walter Schachermayer
      Pages 251-278
  4. Back Matter
    Pages 357-373

About this book

Keywords

Arbitrage Black-Scholes Finance Hedging JEL: G12, G13 Martingale Numéraire Probability space Stochastic Processes change of numeraire fundamental theorem of asset pricing local martingale stochastic process superreplication

About the authors

Walter Schachermeyer, born in 1950 in Linz, Austria, has received--as the first mathematician--the 1998 Wittgenstein Award, Austria's highest honor for scienctific achievement. Since 1998 he holds the Chair for Actuarial and Financial Mathematics at the Vienna University of Technolgoy. Among his achievements is the proof of the "Fundamental Theorem of Asset Pricing" in its general form, which was done in joint work with Freddy Delbaen.

Freddy Delbaen, born in 1946 in Duffel/Antwerpen, Belgium, is Professor for Financial Mathematics at the ETH in Zurich since 1995.

Bibliographic information

Industry Sectors
Finance, Business & Banking

Reviews

From the reviews:

"As a learning device, I think this works really well. The second half of the book allows readers to ‘put to use’ the mathematics they learn in the first half. I really like the authors’ writing style. They provide plenty of intuitive insights and historical notes along the way as they formally develop concepts. … I recommend it highly to theoretically-inclined financial engineers and researchers." (www.riskbook.com, September, 2006)

"The aim of the book, as the authors state … is to give the reader a guided tour through the mathematics of arbitrage. … The book will be of invaluable help to new researchers in the area of incomplete markets. A new graduate student wishing to do such research would start by reading the papers in the book. She or he now has a very good book to assist this study." (Angelos Dassios, Mathematical Reviews, Issue 2007 a)