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Arbitrage Theory

  • Damir Filipović
Chapter
Part of the Springer Finance book series (FINANCE)

Abstract

This chapter briefly recalls the fundamental arbitrage principles in a Brownian-motion-driven financial market. The basics of stochastic calculus are provided without proofs. Standard terminology is employed without further explanation. Readers are requested to consult one of the many text books on stochastic calculus. References are given in the notes section. The main pillars for financial applications are Itô’s formula, Girsanov’s change of measure theorem, and the martingale representation theorem.

Keywords

Asset Price Risky Asset Contingent Claim Martingale Measure Stochastic Calculus 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  1. 1.University of Vienna, and Vienna University of Economics and BusinessViennaAustria

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