The Mathematics of Arbitrage
Description
This book presents a rigorous mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of "no arbitrage". The first part presents a relatively elementary introduction, restricting itself to the case of finite probability spaces. The second part consists of an updated edition of seven original research papers by the authors, which analyzes the topic in the general framework of semi-martingale theory.
Reviews / Votes
From the reviews:
"As a learning device, I think this works really well. The second half of the book allows readers to 'put to use' the mathematics they learn in the first half. I really like the authors' writing style. They provide plenty of intuitive insights and historical notes along the way as they formally develop concepts. . I recommend it highly to theoretically-inclined financial engineers and researchers." (www.riskbook.com, September, 2006)
"The aim of the book, as the authors state . is to give the reader a guided tour through the mathematics of arbitrage. . The book will be of invaluable help to new researchers in the area of incomplete markets. A new graduate student wishing to do such research would start by reading the papers in the book. She or he now has a very good book to assist this study." (Angelos Dassios, Mathematical Reviews, Issue 2007 a)
More details
Other editions
Additional editions
Persons
Walter Schachermeyer, born in 1950 in Linz, Austria, has received--as the first mathematician--the 1998 Wittgenstein Award, Austria's highest honor for scienctific achievement. Since 1998 he holds the Chair for Actuarial and Financial Mathematics at the Vienna University of Technolgoy. Among his achievements is the proof of the "Fundamental Theorem of Asset Pricing" in its general form, which was done in joint work with Freddy Delbaen.
Freddy Delbaen, born in 1946 in Duffel/Antwerpen, Belgium, is Professor for Financial Mathematics at the ETH in Zurich since 1995.