| 书目名称 | Market-Consistent Prices | | 副标题 | An Introduction to A | | 编辑 | Pablo Koch-Medina,Cosimo Munari | | 视频video | | | 概述 | Mathematically rigorous and comprehensive introduction to arbitrage pricing in single- and multi-period models, including sub and super hedging in incomplete markets.Careful selection of exercises.Acc | | 图书封面 |  | | 描述 | .Arbitrage Theory provides the foundation for the pricing of financial derivatives and has become indispensable in both financial theory and financial practice. This textbook offers a rigorous and comprehensive introduction to the mathematics of arbitrage pricing in a discrete-time, finite-state economy in which a finite number of securities are traded. In a first step, various versions of the Fundamental Theorem of Asset Pricing, i.e., characterizations of when a market does not admit arbitrage opportunities, are proved. The book then focuses on incomplete markets where the main concern is to obtain a precise description of the set of “market-consistent” prices for nontraded financial contracts, i.e. the set of prices at which such contracts could be transacted between rational agents..Both European-type and American-type contracts are considered. A distinguishing feature of this book is its emphasis on market-consistent prices and a systematic description of pricing rules, also at intermediate dates. The benefits of this approach are most evident in the treatment of American options, which is novel in terms of both the presentation and the scope, while also presenting new results | | 出版日期 | Textbook 2020 | | 关键词 | arbitrage pricing; complete and incomplete markets; convex analysis; financial markets; probability theo | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-030-39724-1 | | isbn_softcover | 978-3-030-39722-7 | | isbn_ebook | 978-3-030-39724-1 | | copyright | Springer Nature Switzerland AG 2020 |
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发表于 2025-3-21 16:37:12
