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The Mathematics of Arbitrage (Springer Finance)
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| List Price: | $79.95 |
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Product Description
This long-awaited book aims at a rigorous mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of no arbitrage. In the first part the authors present a relatively elementary introduction, restricting itself to the case of finite probability spaces. The second part consists in an updated edition of seven original research papers by the authors, which analyse the topic in the general framework of semi-martingale theory.
Product Details
- Amazon Sales Rank: #506471 in Books
- Published on: 2008-07
- Original language: English
- Number of items: 1
- Binding: Hardcover
- 373 pages
Editorial Reviews
Review
From the reviews:
"As a learning device, I think this works really well. The second half of the book allows readers to a ~put to usea (TM) the mathematics they learn in the first half. I really like the authorsa (TM) writing style. They provide plenty of intuitive insights and historical notes along the way as they formally develop concepts. a ] I recommend it highly to theoretically-inclined financial engineers and researchers." (www.riskbook.com, September, 2006)
"The aim of the book, as the authors state a ] is to give the reader a guided tour through the mathematics of arbitrage. a ] The book will be of invaluable help to new researchers in the area of incomplete markets. A new graduate student wishing to do such research would start by reading the papers in the book. She or he now has a very good book to assist this study." (Angelos Dassios, Mathematical Reviews, Issue 2007 a)
About the Author
Walter Schachermeyer, born in 1950 in Linz, Austria, has received--as the first mathematician--the 1998 Wittgenstein Award, Austria's highest honor for scienctific achievement. Since 1998 he holds the Chair for Actuarial and Financial Mathematics at the Vienna University of Technolgoy. Among his achievements is the proof of the "Fundamental Theorem of Asset Pricing" in its general form, which was done in joint work with Freddy Delbaen. Freddy Delbaen, born in 1946 in Duffel/Antwerpen, Belgium, is Professor for Financial Mathematics at the ETH in Zurich since 1995.
