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Market-Consistent Prices : An Introduction to Arbitrage Theory by Pablo Koch-Medina & Cosimo Munari is a nonfiction available to read on EtoBox.
What is Market-Consistent Prices : An Introduction to Arbitrage Theory about?
"Arbitrage Theory provides the foundation for the pricing of financial derivatives and has become indispensable in both financial theory and financial practice. This textbook offers a rigorous and comprehensive introduction to the mathematics of arbitrage pricing in a discrete-time, finite-state economy in which a finite number of securities are traded. In a first step, various versions of the Fundamental Theorem of Asset Pricing, i.e., characterizations of when a market does not admit arbitrage opportunities, are proved. The book then focuses on incomplete markets where the main concern is to obtain a precise description of the set of "market-consistent" prices for nontraded financial contracts, i.e. the set of prices at which such contracts could be transacted between rational agents. Both European-type and American-type contracts are considered. A distinguishing feature of this book is its emphasis on market-consistent prices and a systematic description of pricing rules, also at intermediate dates. The benefits of this approach are most evident in the treatment of American options, which is novel in terms of both the presentation and the scope, while also presenting new results
Who reads Market-Consistent Prices : An Introduction to Arbitrage Theory?
It is typically read by self-directed learners exploring a subject in depth.
Common subject areas: history, science, philosophy, social sciences.
- Author
- Pablo Koch-Medina & Cosimo Munari
- Publisher
- Springer International Publishing : Imprint: Birkhäuser
- Published
- 2020
- Language
- EN
- ISBN
- 9783030397227
- Category
- nonfiction
- Subjects
- Mathematics, Stem