Portfolio theory and arbitrage: a course in mathematical finance
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Providence, Rhode Island
American Mathematical Society
[2021]
|
| Schriftenreihe: | Graduate studies in mathematics
214 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | xvi, 309 Seiten |
| ISBN: | 9781470465988 9781470460143 |
Internformat
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents Preface Preview Prerequisites Further topics Suggested reading pathways Acknowledgements Chapter 1. The Market §1.1. Probabilistic setup §1.2. Assets and investment §1.3. §1.4. Proportional investment Relative performance §1.5. Functional generation of stock portfolios Notes and Complements Chapter 2. Numéraires and Market Viability §2.1. Supermartingale numéraires ix x xiii xiii xiv xv 1 1 9 16 22 30 38 41 42 §2.2. Market viability 51 §2.3. §2.4. Optimality properties of supermartingale numéraires The local martingale numéraire for stock portfolios 66 §2.5. Capital Asset Pricing Model Notes and Complements 81 87 93 VII
Contents viii Chapter 3. Financing, Optimization, Maximality §3.1. Optional Decomposition §3.2. §3.3. §3.4. Financing Contingent claims; Completeness Utility Maximization §3.5. Maximality Notes and Complements Chapter 4. §4.1. §4.2. Ramifications and Extensions Drawdown-constrained investment Simple trading and semimartingales §4.3. Models with infinitely many assets Notes and Complements Appendix A. Elements of Functional and Convex Analysis 99 101 108 127 148 168 184 189 190 205 217 245 249 §A.l. §A.2. §A.3. A minimax theorem The space L° Concave optimization and duality on L(į 250 253 264 §A.4. The space L°° 275 284 §A.5. Reproducing kernel Hilbert space Notes and Complements 291 Bibliography 295 Index 307
|
| adam_txt |
Contents Preface Preview Prerequisites Further topics Suggested reading pathways Acknowledgements Chapter 1. The Market §1.1. Probabilistic setup §1.2. Assets and investment §1.3. §1.4. Proportional investment Relative performance §1.5. Functional generation of stock portfolios Notes and Complements Chapter 2. Numéraires and Market Viability §2.1. Supermartingale numéraires ix x xiii xiii xiv xv 1 1 9 16 22 30 38 41 42 §2.2. Market viability 51 §2.3. §2.4. Optimality properties of supermartingale numéraires The local martingale numéraire for stock portfolios 66 §2.5. Capital Asset Pricing Model Notes and Complements 81 87 93 VII
Contents viii Chapter 3. Financing, Optimization, Maximality §3.1. Optional Decomposition §3.2. §3.3. §3.4. Financing Contingent claims; Completeness Utility Maximization §3.5. Maximality Notes and Complements Chapter 4. §4.1. §4.2. Ramifications and Extensions Drawdown-constrained investment Simple trading and semimartingales §4.3. Models with infinitely many assets Notes and Complements Appendix A. Elements of Functional and Convex Analysis 99 101 108 127 148 168 184 189 190 205 217 245 249 §A.l. §A.2. §A.3. A minimax theorem The space L° Concave optimization and duality on L(į 250 253 264 §A.4. The space L°° 275 284 §A.5. Reproducing kernel Hilbert space Notes and Complements 291 Bibliography 295 Index 307 |
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| author | Karatzas, Ioannis 1952- Kardaras, Constantinos 1977- |
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| ctrlnum | (OCoLC)1244332527 (DE-599)BVBBV047565507 |
| discipline | Mathematik Wirtschaftswissenschaften |
| discipline_str_mv | Mathematik Wirtschaftswissenschaften |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T18:28:30Z |
| indexdate | 2024-07-10T09:14:48Z |
| institution | BVB |
| isbn | 9781470465988 9781470460143 |
| language | English |
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| physical | xvi, 309 Seiten |
| publishDate | 2021 |
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| series | Graduate studies in mathematics |
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| spelling | Karatzas, Ioannis 1952- (DE-588)140840346 aut Portfolio theory and arbitrage a course in mathematical finance Ioannis Karatzas ; Constantinos Kardaras Providence, Rhode Island American Mathematical Society [2021] © 2021 xvi, 309 Seiten txt rdacontent n rdamedia nc rdacarrier Graduate studies in mathematics 214 Includes bibliographical references and index Spieltheorie (DE-588)4056243-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 s Spieltheorie (DE-588)4056243-8 s Stochastisches Modell (DE-588)4057633-4 s Finanzmathematik (DE-588)4017195-4 s DE-604 Kardaras, Constantinos 1977- (DE-588)1255099593 aut Erscheint auch als Online-Ausgabe 978-1-4704-6597-1 Graduate studies in mathematics 214 (DE-604)BV009739289 214 Digitalisierung UB Passau - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032940865&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Karatzas, Ioannis 1952- Kardaras, Constantinos 1977- Portfolio theory and arbitrage a course in mathematical finance Graduate studies in mathematics Spieltheorie (DE-588)4056243-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Portfolio Selection (DE-588)4046834-3 gnd Stochastisches Modell (DE-588)4057633-4 gnd |
| subject_GND | (DE-588)4056243-8 (DE-588)4017195-4 (DE-588)4046834-3 (DE-588)4057633-4 |
| title | Portfolio theory and arbitrage a course in mathematical finance |
| title_auth | Portfolio theory and arbitrage a course in mathematical finance |
| title_exact_search | Portfolio theory and arbitrage a course in mathematical finance |
| title_exact_search_txtP | Portfolio theory and arbitrage a course in mathematical finance |
| title_full | Portfolio theory and arbitrage a course in mathematical finance Ioannis Karatzas ; Constantinos Kardaras |
| title_fullStr | Portfolio theory and arbitrage a course in mathematical finance Ioannis Karatzas ; Constantinos Kardaras |
| title_full_unstemmed | Portfolio theory and arbitrage a course in mathematical finance Ioannis Karatzas ; Constantinos Kardaras |
| title_short | Portfolio theory and arbitrage |
| title_sort | portfolio theory and arbitrage a course in mathematical finance |
| title_sub | a course in mathematical finance |
| topic | Spieltheorie (DE-588)4056243-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Portfolio Selection (DE-588)4046834-3 gnd Stochastisches Modell (DE-588)4057633-4 gnd |
| topic_facet | Spieltheorie Finanzmathematik Portfolio Selection Stochastisches Modell |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032940865&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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