ISBN: 9781332975440 - nonnegative wealth, absence of arbitrage, and feasible consumption plans (classic reprint) (3 risultati)

PAP. Condizione: New. New Book. Shipped from UK. Established seller since 2000.

PAP. Condizione: New. New Book. Shipped from UK. Established seller since 2000.

Paperback. Condizione: New. Print on Demand. This book delves into the intricate world of financial models, examining the crucial concept of arbitrage and its impact on portfolio choice and option pricing. The author critically analyzes the development of continuous-time finance models, revealing how seemingly reasonable strategies like doubling strategies can lead to arbitrage profits and undermine the validity of theoretical results. The book then introduces the concept of a nonnegative wealth constraint, presenting a more economically sound approach to eliminating arbitrage opportunities. It explores the relationship between this constraint and the traditional integrability condition, demonstrating that the former is sufficient to preclude arbitrage while allowing for a broader range of feasible consumption plans. The author's rigorous analysis extends beyond the well-known Black-Scholes model, offering a more general framework for understanding the implications of nonnegative wealth in financial markets. This insightful book clarifies the theoretical complexities of arbitrage in continuous-time finance models, offering a valuable resource for researchers, students, and practitioners seeking a deeper understanding of these essential concepts. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item.…