Portfolio Theory and Arbitrage: A Course in Mathematical Finance
Portfolio Theory and ArbitrageA Course in Mathematical Finance
Author(s): Ioannis Karatzas, Constantinos Kardaras
Format: Paperback
Publisher: American Mathematical Society, United States
Imprint: American Mathematical Society
ISBN-13: 9781470465988, 978-1470465988
Synopsis
This book develops a mathematical theory for finance, based on a simple and intuitive absence-of-arbitrage principle. This posits that it should not be possible to fund a non-trivial liability, starting with initial capital arbitrarily near zero. The principle is easy-to-test in specific models, as it is described in terms of the underlying market characteristics; it is shown to be equivalent to the existence of the so-called \""\""Kelly\""\"" or growth-optimal portfolio, of the log-optimal portfolio, and of appropriate local martingale deflators. The resulting theory is powerful enough to treat in great generality the fundamental questions of hedging, valuation, and portfolio optimization.
The book contains.
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Portfolio Theory and Arbitrage: A Course in Mathematical Finance
Portfolio Theory and ArbitrageA Course in Mathematical Finance
Author(s): Ioannis Karatzas, Constantinos Kardaras
Format: Paperback
Publisher: American Mathematical Society, United States
Imprint: American Mathematical Society
ISBN-13: 9781470465988, 978-1470465988
Synopsis
This book develops a mathematical theory for finance, based on a simple and intuitive absence-of-arbitrage principle. This posits that it should not be possible to fund a non-trivial liability, starting with initial capital arbitrarily near zero. The principle is easy-to-test in specific models, as it is described in terms of the underlying market characteristics; it is shown to be equivalent to the existence of the so-called \""\""Kelly\""\"" or growth-optimal portfolio, of the log-optimal portfolio, and of appropriate local martingale deflators. The resulting theory is powerful enough to treat in great generality the fundamental questions of hedging, valuation, and portfolio optimization.
The book contains.
Price now:
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£58.25
To
£64.04
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Product Description
Portfolio Theory and ArbitrageA Course in Mathematical Finance
Author(s): Ioannis Karatzas, Constantinos Kardaras
Format: Paperback
Publisher: American Mathematical Society, United States
Imprint: American Mathematical Society
ISBN-13: 9781470465988, 978-1470465988
Synopsis
This book develops a mathematical theory for finance, based on a simple and intuitive absence-of-arbitrage principle. This posits that it should not be possible to fund a non-trivial liability, starting with initial capital arbitrarily near zero. The principle is easy-to-test in specific models, as it is described in terms of the underlying market characteristics; it is shown to be equivalent to the existence of the so-called \""\""Kelly\""\"" or growth-optimal portfolio, of the log-optimal portfolio, and of appropriate local martingale deflators. The resulting theory is powerful enough to treat in great generality the fundamental questions of hedging, valuation, and portfolio optimization.
The book contains.
Product Specifications
General | |
|---|---|
format | trade paperback |
Language | english |
series | graduate studies in mathematics ser. |
type | textbook |
character | unknown |
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