The Mathematics of Arbitrage

• Main Authors: Delbaen, Freddy (Author), Schachermayer, Walter (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2006.
• Series: Springer Finance
• Subjects: Mathematics.; Finance.; Functional analysis.; Operator theory.; Economics, Mathematical.; Probabilities.; Quantitative Finance.; Probability Theory and Stochastic Processes.; Operator Theory.; Functional Analysis.; Finance, general.

Table of Contents:

• A Guided Tour to Arbitrage Theory
• The Story in a Nutshell
• Models of Financial Markets on Finite Probability Spaces
• Utility Maximisation on Finite Probability Spaces
• Bachelier and Black-Scholes
• The Kreps-Yan Theorem
• The Dalang-Morton-Willinger Theorem
• A Primer in Stochastic Integration
• Arbitrage Theory in Continuous Time: an Overview
• The Original Papers
• A General Version of the Fundamental Theorem of Asset Pricing (1994)
• A Simple Counter-Example to Several Problems in the Theory of Asset Pricing (1998)
• The No-Arbitrage Property under a Change of Numéraire (1995)
• The Existence of Absolutely Continuous Local Martingale Measures (1995)
• The Banach Space of Workable Contingent Claims in Arbitrage Theory (1997)
• The Fundamental Theorem of Asset Pricingfor Unbounded Stochastic Processes (1998)
• A Compactness Principle for Bounded Sequences of Martingales with Applications (1999).