The Mathematics of Arbitrage

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Springer Finance Editorial Board M. Avellaneda G. Barone-Adesi M. Broadie M.H.A. Davis E. Derman C. Klüppelberg E. Kopp W. Schac ...

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Freddy Delbaen · Walter Schachermayer The Mathematics of Arbitrage 123 ...

Freddy Delbaen ETH Zürich Departement Mathematik, Lehrstuhl für Finanzmathematik Rämistr. 101 8092 Zürich Switzerland E-mail: de ...

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Preface In 1973 F. Black and M. Scholes published their pathbreaking paper [BS 73] on option pricing. The key idea — attributed ...

VIII Preface The mathematical challenge is to turn this general principle into precise theorems. This was first established by M ...

Preface IX set Pricing in a nutshell. This chapter is very informal and should serve mainly to build up some economic intuition. ...

XPreface eral beautiful textbooks (e.g., [P 90], [RY 91], [RW 00]). Nevertheless, we do highlight those aspects that are particu ...

Preface XI This book owes much to many: in particular, we are deeply indebted to our many friends in the functional analysis, th ...

Contents ...

Part II The Original Papers ...

Contents XV 1 The Story in a Nutshell Part I A Guided Tour to Arbitrage Theory 1.1 Arbitrage................................... ...

XVI Contents 15.3 An Example ............................................ 15.4 A Substitute of Compactness for Bounded Subsets o ...

Part I A Guided Tour to Arbitrage Theory ...

1 The Story in a Nutshell 1.1 Arbitrage............................................... The notion of arbitrage is crucial to the ...

41TheStoryinaNutshell New York. The arbitrage possibility will disappear when the two prices be- come equal. Of course, “equalit ...

1.3 Pricing by No-Arbitrage 5 Hence we know the value of the option at timet=1,contingent on the value of the stock. But what is ...