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The Mathematics Of Arbitrage

 Author: Freddy Delbaen  Categories: Educational  Pages: 380  Language: English  Format: PDF  Tags: EducationalStep-by-Step Learning |  Download PDF Book  Direct Link
Books | Educational | The Mathematics Of Arbitrage
 Excerpt  :

The simple and economically very convincing ‚Äúprinciple of noarbitrage‚ÄĚ allows one to derive, in certain mathematical models of financial markets (such as the Samuelson model, [S 65], nowadays also referred to as the ‚ÄúBlack-Scholes‚ÄĚ model, based on geometric Brownian motion), unique prices for options and other contingent claims.

This remarkable achievement by F. Black, M. Scholes and R. Merton had a profound effect on financial markets and it shifted the paradigm of dealing with financial risks towards the use of quite sophisticated mathematical models. It was in the late seventies that the central role of no-arbitrage arguments was crystallised in three seminal papers by M. Harrison, D. Kreps and S. Pliska ([HK 79], [HP 81], [K 81]) They considered a general framework, which allows a systematic study of different models of financial markets.

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