Arbitrage Theory In Discrete And Continuous Time

Lingua: inglese

Editore: World Scientific Publishing Co Pte Ltd, SG, 2026

9819816793 / 9789819816798

Da: Rarewaves.com USA, London, London, Regno UnitoRarewaves.com USA

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In the ever-evolving world of finance, no-arbitrage theory remains a cornerstone for understanding asset pricing, risk management, and investment strategies. This book presents the key results of modern no-arbitrage theory in both discrete and continuous time settings.The book is structured in three parts.The first part focuses on one-period financial market models. Although highly stylized, this framework provides a clear and explicit introduction to the fundamental features of a financial market, such as the absence of arbitrage and market completeness, as well as the tools used to effectively test these properties. Additionally, we explore how the absence of arbitrage imposes constraints on the pricing of new financial assets.The second part transitions to multi-period financial market models, offering a more realistic depiction of financial markets. It introduces the fundamentals of discrete-time stochastic processes, extends the tools developed in the first part, and demonstrates how to price contingent claims with cash flows occurring at multiple dates.In the third part, we refine the time structure further by moving into a continuous-time setting. After a primer on continuous-time stochastic processes and stochastic integration, we extend the no-arbitrage framework and rigorously examine pricing in the celebrated Black-Scholes model and in a few of its extensions.Numerous numerical examples throughout the book support the reader's understanding and help visualize key concepts. Each part concludes with a comprehensive set of exercises and solutions, offering opportunities for practice and self-assessment.…

Codice articolo LU-9789819816798

Titolo
Arbitrage Theory In Discrete And Continuous Time
Autore
Anna Battauz, Fulvio Ortu, Francesco Rotondi
Editore
World Scientific Publishing Co Pte Ltd, SG
Anno di pubblicazione
2026
Condizione
New
Rilegatura
Hardback
Lingua
inglese
ISBN 10
9819816793
ISBN 13
9789819816798

Rarewaves.com USA

London, London, Regno Unito

Venditore con 5 stelle

Venditore AbeBooks dal 11 giugno 2025

Tariffe di spedizione da Regno Unito a U.S.A.

ArticoloDa 9 a 14 giorni lavorativiDa 9 a 14 giorni lavorativi
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