Arbitrage and Martingales

  • J. Michael Steele
Part of the Applications of Mathematics book series (SMAP, volume 45)


The martingale theory of arbitrage pricing is one of the greatest triumphs of probability theory. It is of immense practical importance, and it has a direct bearing on financial transactions that add up to billions of dollars per day. It is also of great intellectual appeal because it unites our economic understanding of the world with genuinely refined insights from the theory of stochastic integration.


Call Option Contingent Claim Portfolio Weight Price Formula Bond Model 
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Copyright information

© Springer-Verlag New York, Inc. 2001

Authors and Affiliations

  • J. Michael Steele
    • 1
  1. 1.The Wharton School, Department of StatisticsUniversity of PennsylvaniaPhiladelphiaUSA

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