Description 
1 online resource (xix, 446 pages) 
Contents 
Random Variables: Linearity and Order  Probabilities and Expectations  Random Variables: Topology and Geometry  Extensions of Linear Functionals  SinglePeriod Financial Markets  MarketConsistent Prices for Replicable Payoffs  Fundamental Theorem of Asset Pricing  MarketConsistent Prices for General Payoffs  Random Variables: Information and Measurability  Conditional Probabilities and Expectations  Conditional Linear Functionals  Extensions of Conditional Linear Functionals  Information and Stochastic Processes  MultiPeriod Financial Markets  MarketConsistent Prices for Replicable Payoffs  Fundamental Theorem of Asset Pricing  MarketConsistent Prices for General Payoffs  Random Variables: Information and Measurability  Conditional Probabilities and Expectations  Conditional Linear Functionals  Extensions of Conditional Linear Functionals  Information and Stochastic Processes  MultiPeriod Financial Markets  MarketConsistent Prices for Replicable Payoffs  Fundamental Theorem of Asset Pricing  MarketConsistent Prices for General Payoffs  MarketConsistent Prices for Payoff Streams  MarketConsistent Prices for American Options 
Summary 
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 discretetime, finitestate 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 "marketconsistent" prices for nontraded financial contracts, i.e. the set of prices at which such contracts could be transacted between rational agents. Both Europeantype and Americantype contracts are considered. A distinguishing feature of this book is its emphasis on marketconsistent 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 discretetime, finitestate 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 
Bibliography 
Includes bibliographical references and indexes 
Notes 
Print version record 
Subject 
Arbitrage.


Game theory.


Probability & statistics.


Mathematics  Game Theory.


Mathematics  Probability & Statistics  General.


Matemáticas  Juegos, Teoría de


Arbitraje internacional


Arbitrage

Form 
Electronic book

Author 
Munari, Cosimo

ISBN 
9783030397241 

3030397246 
