國立虎尾科技大學 |

Market-Consistent Prices = An Introduction to Arbitrage Theory /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Market-Consistent Prices/ by Pablo Koch-Medina, Cosimo Munari.
其他題名:	An Introduction to Arbitrage Theory /
作者:	Koch-Medina, Pablo.
其他作者:	Munari, Cosimo.
面頁冊數:	XIX, 446 p. 44 illus., 1 illus. in color.online resource. :
Contained By:	Springer Nature eBook
標題:	Game Theory, Economics, Social and Behav. Sciences. -
電子資源:	https://doi.org/10.1007/978-3-030-39724-1
ISBN:	9783030397241

Market-Consistent Prices = An Introduction to Arbitrage Theory /
Koch-Medina, Pablo.

Market-Consistent PricesAn Introduction to Arbitrage Theory /[electronic resource] :by Pablo Koch-Medina, Cosimo Munari. - 1st ed. 2020. - XIX, 446 p. 44 illus., 1 illus. in color.online resource.

Introduction -- A full picture in the simplest case -- Part I: One-period models -- Finite probability spaces.-Random variables -- The space of random variables -- Separation theorems -- Positive linear functionals -- One-period models: The Law of One Price -- One-period models: The Fundamental Theorem of Asset Pricing -- One-period models: Incomplete markets -- Part II: Multi-period models -- Information and measurability.-Conditional probabilities and conditional expectation -- Stochastic processes and martingales -- Multi-period models: The Law of One Price -- Multi-period models: The Fundamental Theorem of Asset Pricing -- Multi-period models: Incomplete markets -- The Cox-Ross-Rubinstein model -- Optimal stopping -- Multi-period models: American claims -- Part III: The Black-Scholes formula -- The central limit theorem -- The Black-Scholes formula -- Appendices -- A Linear algebra -- B Normed spaces -- C. Combinatorics.

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. The focus on discrete-time, finite-state models makes it possible to cover all relevant topics while requiring only a moderate mathematical background on the part of the reader. The book will appeal to mathematical finance and financial economics students seeking an elementary but rigorous introduction to the subject; mathematics and physics students looking for an opportunity to get acquainted with a modern applied topic; and mathematicians, physicists and quantitatively inclined economists working or planning to work in the financial industry.

ISBN: 9783030397241

Standard No.: 10.1007/978-3-030-39724-1doiSubjects--Topical Terms:

669497
Game Theory, Economics, Social and Behav. Sciences.

LC Class. No.: QA273.A1-274.9

Dewey Class. No.: 519.2

Market-Consistent Prices = An Introduction to Arbitrage Theory /
LDR:04098nam a22004095i 4500 001 1024811
003 DE-He213
005 20200716234053.0
007 cr nn 008mamaa
008 210318s2020 gw | s |||| 0|eng d
020 $a 9783030397241 $9 978-3-030-39724-1
024 7 $a 10.1007/978-3-030-39724-1 $2 doi
035 $a 978-3-030-39724-1
050 4 $a QA273.A1-274.9
050 4 $a QA274-274.9
072 7 $a PBT $2 bicssc
072 7 $a MAT029000 $2 bisacsh
072 7 $a PBT $2 thema
072 7 $a PBWL $2 thema
082 0 4 $a 519.2 $2 23
100 1 $a Koch-Medina, Pablo. $e author. $4 aut $4 http://id.loc.gov/vocabulary/relators/aut $3 1321017
245 1 0 $a Market-Consistent Prices $h [electronic resource] : $b An Introduction to Arbitrage Theory / $c by Pablo Koch-Medina, Cosimo Munari.
250 $a 1st ed. 2020.
264 1 $a Cham : $b Springer International Publishing : $b Imprint: Birkhäuser, $c 2020.
300 $a XIX, 446 p. 44 illus., 1 illus. in color. $b online resource.
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
347 $a text file $b PDF $2 rda
505 0 $a Introduction -- A full picture in the simplest case -- Part I: One-period models -- Finite probability spaces.-Random variables -- The space of random variables -- Separation theorems -- Positive linear functionals -- One-period models: The Law of One Price -- One-period models: The Fundamental Theorem of Asset Pricing -- One-period models: Incomplete markets -- Part II: Multi-period models -- Information and measurability.-Conditional probabilities and conditional expectation -- Stochastic processes and martingales -- Multi-period models: The Law of One Price -- Multi-period models: The Fundamental Theorem of Asset Pricing -- Multi-period models: Incomplete markets -- The Cox-Ross-Rubinstein model -- Optimal stopping -- Multi-period models: American claims -- Part III: The Black-Scholes formula -- The central limit theorem -- The Black-Scholes formula -- Appendices -- A Linear algebra -- B Normed spaces -- C. Combinatorics.
520 $a 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. The focus on discrete-time, finite-state models makes it possible to cover all relevant topics while requiring only a moderate mathematical background on the part of the reader. The book will appeal to mathematical finance and financial economics students seeking an elementary but rigorous introduction to the subject; mathematics and physics students looking for an opportunity to get acquainted with a modern applied topic; and mathematicians, physicists and quantitatively inclined economists working or planning to work in the financial industry.
650 2 4 $a Game Theory, Economics, Social and Behav. Sciences. $3 669497
650 1 4 $a Probability Theory and Stochastic Processes. $3 593945
650 0 $a Game theory. $3 556918
650 0 $a Probabilities. $3 527847
700 1 $a Munari, Cosimo. $e author. $4 aut $4 http://id.loc.gov/vocabulary/relators/aut $3 1321018
710 2 $a SpringerLink (Online service) $3 593884
773 0 $t Springer Nature eBook
776 0 8 $i Printed edition: $z 9783030397227
776 0 8 $i Printed edition: $z 9783030397234
856 4 0 $u https://doi.org/10.1007/978-3-030-39724-1
912 $a ZDB-2-SMA
912 $a ZDB-2-SXMS
950 $a Mathematics and Statistics (SpringerNature-11649)
950 $a Mathematics and Statistics (R0) (SpringerNature-43713)