The Mathematics of Arbitrage by Freddy Delbaen (Author), Walter Schachermayer (Contributor)

The Mathematics of Arbitrage by Freddy Delbaen (Author), Walter Schachermayer (Contributor)
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The Mathematics of Arbitrage

by Freddy Delbaen (Author), Walter Schachermayer (Contributor)



Proof of the "Fundamental Theorem of Asset Pricing" in its general form by Delbaen and Schachermayer was a milestone in the history of modern mathematical finance and now forms the cornerstone of this book.

Puts into book format a series of major results due mostly to the authors of this book.

Embeds highest-level research results into a treatment amenable to graduate students, with introductory, explanatory background.

Awaited in the quantitative finance community.



Product Description

This long-awaited book aims at a rigorous mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of no arbitrage. In the first part the authors present a relatively elementary introduction, restricting itself to the case of finite probability spaces. The second part consists in an updated edition of seven original research papers by the authors, which analyse the topic in the general framework of semi-martingale theory.