Arbitrage Theory

Name: Arbitrage Theory
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 9783540152415
Price: 277.38 RON
Availability: InStock

Introductory Lectures on Arbitrage-Based Financial Asset Pricing

Autor: Jochen Wilhelm

Limbă:

Legare: Carte broșată

Editura: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Disponibilitate: În depozitul extern

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277.38 lei

The present 'Introductory Lectures on Arbitrage-based Financial Asset Pricing' are a first attempt t...

Informații despre carte

Autor

Jochen Wilhelm

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

1985

Pagini

116

EAN

9783540152415

ISBN

3540152415

Enbook ID

05338900

Editura

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Greutate

220

Dimensiuni

155 x 235 x 8

Descriere completă

The present 'Introductory Lectures on Arbitrage-based Financial Asset Pricing' are a first attempt to give a comprehensive presentation of Arbitrage Theory in a discrete time framework (by the way: all the re sults given in these lectures apply to a continuous time framework but, probably, in continuous time we could achieve stronger results - of course at the price of stronger assumptions). It has been turned out in the last few years that capital market theory as derived and evolved from the capital asset pricing model (CAPM) in the middle sixties, can, to an astonishing extent, be based on arbitrage arguments only, rather than on mean-variance preferences of investors. On the other hand, ar bitrage arguments provided access to a wider range of results which could not be obtained by standard CAPM-methods, e. g. the valuation of contingent claims (derivative assets) Dr the_ investigation of futures prices. To some extent the presentation will loosely follow historical lines. A selected set of capital asset pricing models will be derived according to their historical progress and their increasing complexity as well. It will be seen that they all share common structural properties. After having made this observation the presentation will become an axiomatical one: it will be stated in precise terms what arbitrage is about and what the consequences are if markets do not allow for risk-free arbitrage opportunities. The presentation will partly be accompanied by an illus trating example: two-state option pricing.

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Arbitrage Theory

Introductory Lectures on Arbitrage-Based Financial Asset Pricing

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