Arbitrage Theory: Introductory Lectures on Arbitrage-Based Financial Asset Pricing
The present 'Introductory Lectures on Arbitrage-based Financial Asset Pricing' are a first attempt to give a comprehensive presentation of Arbitrage Theory in a discrete time framework (by the way: all the re sults given in these lectures apply to a continuous time framework but, probably...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin, Heidelberg
Springer Berlin Heidelberg
1985
|
| Ausgabe: | 1st ed. 1985 |
| Schriftenreihe: | Lecture Notes in Economics and Mathematical Systems
245 |
| Schlagworte: | |
| Online-Zugang: | BTU01 Volltext |
| Zusammenfassung: | The present 'Introductory Lectures on Arbitrage-based Financial Asset Pricing' are a first attempt to give a comprehensive presentation of Arbitrage Theory in a discrete time framework (by the way: all the re sults given in these lectures apply to a continuous time framework but, probably, in continuous time we could achieve stronger results - of course at the price of stronger assumptions). It has been turned out in the last few years that capital market theory as derived and evolved from the capital asset pricing model (CAPM) in the middle sixties, can, to an astonishing extent, be based on arbitrage arguments only, rather than on mean-variance preferences of investors. On the other hand, ar bitrage arguments provided access to a wider range of results which could not be obtained by standard CAPM-methods, e. g. the valuation of contingent claims (derivative assets) Dr the_ investigation of futures prices. To some extent the presentation will loosely follow historical lines. A selected set of capital asset pricing models will be derived according to their historical progress and their increasing complexity as well. It will be seen that they all share common structural properties. After having made this observation the presentation will become an axiomatical one: it will be stated in precise terms what arbitrage is about and what the consequences are if markets do not allow for risk-free arbitrage opportunities. The presentation will partly be accompanied by an illus trating example: two-state option pricing |
| Beschreibung: | 1 Online-Ressource (VII, 116 p) |
| ISBN: | 9783642500947 |
| DOI: | 10.1007/978-3-642-50094-7 |
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| 520 | |a The present 'Introductory Lectures on Arbitrage-based Financial Asset Pricing' are a first attempt to give a comprehensive presentation of Arbitrage Theory in a discrete time framework (by the way: all the re sults given in these lectures apply to a continuous time framework but, probably, in continuous time we could achieve stronger results - of course at the price of stronger assumptions). It has been turned out in the last few years that capital market theory as derived and evolved from the capital asset pricing model (CAPM) in the middle sixties, can, to an astonishing extent, be based on arbitrage arguments only, rather than on mean-variance preferences of investors. On the other hand, ar bitrage arguments provided access to a wider range of results which could not be obtained by standard CAPM-methods, e. g. the valuation of contingent claims (derivative assets) Dr the_ investigation of futures prices. To some extent the presentation will loosely follow historical lines. A selected set of capital asset pricing models will be derived according to their historical progress and their increasing complexity as well. It will be seen that they all share common structural properties. After having made this observation the presentation will become an axiomatical one: it will be stated in precise terms what arbitrage is about and what the consequences are if markets do not allow for risk-free arbitrage opportunities. The presentation will partly be accompanied by an illus trating example: two-state option pricing | ||
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Datensatz im Suchindex
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| discipline | Mathematik Wirtschaftswissenschaften |
| discipline_str_mv | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1007/978-3-642-50094-7 |
| edition | 1st ed. 1985 |
| format | Electronic eBook |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T15:15:36Z |
| indexdate | 2024-07-10T08:56:08Z |
| institution | BVB |
| isbn | 9783642500947 |
| language | English |
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| spelling | Wilhelm, Jochen E.M. Verfasser aut Arbitrage Theory Introductory Lectures on Arbitrage-Based Financial Asset Pricing by Jochen E.M. Wilhelm 1st ed. 1985 Berlin, Heidelberg Springer Berlin Heidelberg 1985 1 Online-Ressource (VII, 116 p) txt rdacontent c rdamedia cr rdacarrier Lecture Notes in Economics and Mathematical Systems 245 The present 'Introductory Lectures on Arbitrage-based Financial Asset Pricing' are a first attempt to give a comprehensive presentation of Arbitrage Theory in a discrete time framework (by the way: all the re sults given in these lectures apply to a continuous time framework but, probably, in continuous time we could achieve stronger results - of course at the price of stronger assumptions). It has been turned out in the last few years that capital market theory as derived and evolved from the capital asset pricing model (CAPM) in the middle sixties, can, to an astonishing extent, be based on arbitrage arguments only, rather than on mean-variance preferences of investors. On the other hand, ar bitrage arguments provided access to a wider range of results which could not be obtained by standard CAPM-methods, e. g. the valuation of contingent claims (derivative assets) Dr the_ investigation of futures prices. To some extent the presentation will loosely follow historical lines. A selected set of capital asset pricing models will be derived according to their historical progress and their increasing complexity as well. It will be seen that they all share common structural properties. After having made this observation the presentation will become an axiomatical one: it will be stated in precise terms what arbitrage is about and what the consequences are if markets do not allow for risk-free arbitrage opportunities. The presentation will partly be accompanied by an illus trating example: two-state option pricing Finance, general Economic Theory/Quantitative Economics/Mathematical Methods Finance Economic theory Preis (DE-588)4047097-0 gnd rswk-swf Theorie (DE-588)4059787-8 gnd rswk-swf Arbitrage (DE-588)4002820-3 gnd rswk-swf Wirtschaftstheorie (DE-588)4079351-5 gnd rswk-swf Geldpolitik (DE-588)4019902-2 gnd rswk-swf Arbitrage (DE-588)4002820-3 s Geldpolitik (DE-588)4019902-2 s Preis (DE-588)4047097-0 s DE-604 Wirtschaftstheorie (DE-588)4079351-5 s Theorie (DE-588)4059787-8 s Erscheint auch als Druck-Ausgabe 9783540152415 Erscheint auch als Druck-Ausgabe 9783642500954 https://doi.org/10.1007/978-3-642-50094-7 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Wilhelm, Jochen E.M Arbitrage Theory Introductory Lectures on Arbitrage-Based Financial Asset Pricing Finance, general Economic Theory/Quantitative Economics/Mathematical Methods Finance Economic theory Preis (DE-588)4047097-0 gnd Theorie (DE-588)4059787-8 gnd Arbitrage (DE-588)4002820-3 gnd Wirtschaftstheorie (DE-588)4079351-5 gnd Geldpolitik (DE-588)4019902-2 gnd |
| subject_GND | (DE-588)4047097-0 (DE-588)4059787-8 (DE-588)4002820-3 (DE-588)4079351-5 (DE-588)4019902-2 |
| title | Arbitrage Theory Introductory Lectures on Arbitrage-Based Financial Asset Pricing |
| title_auth | Arbitrage Theory Introductory Lectures on Arbitrage-Based Financial Asset Pricing |
| title_exact_search | Arbitrage Theory Introductory Lectures on Arbitrage-Based Financial Asset Pricing |
| title_exact_search_txtP | Arbitrage Theory Introductory Lectures on Arbitrage-Based Financial Asset Pricing |
| title_full | Arbitrage Theory Introductory Lectures on Arbitrage-Based Financial Asset Pricing by Jochen E.M. Wilhelm |
| title_fullStr | Arbitrage Theory Introductory Lectures on Arbitrage-Based Financial Asset Pricing by Jochen E.M. Wilhelm |
| title_full_unstemmed | Arbitrage Theory Introductory Lectures on Arbitrage-Based Financial Asset Pricing by Jochen E.M. Wilhelm |
| title_short | Arbitrage Theory |
| title_sort | arbitrage theory introductory lectures on arbitrage based financial asset pricing |
| title_sub | Introductory Lectures on Arbitrage-Based Financial Asset Pricing |
| topic | Finance, general Economic Theory/Quantitative Economics/Mathematical Methods Finance Economic theory Preis (DE-588)4047097-0 gnd Theorie (DE-588)4059787-8 gnd Arbitrage (DE-588)4002820-3 gnd Wirtschaftstheorie (DE-588)4079351-5 gnd Geldpolitik (DE-588)4019902-2 gnd |
| topic_facet | Finance, general Economic Theory/Quantitative Economics/Mathematical Methods Finance Economic theory Preis Theorie Arbitrage Wirtschaftstheorie Geldpolitik |
| url | https://doi.org/10.1007/978-3-642-50094-7 |
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