Portfolio Theory and Arbitrage by Ioannis Karatzas

Portfolio Theory and Arbitrage by Ioannis Karatzas

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 a considerable amount of new research and results, as well as a significant number of exercises. It can be used as a basic text for graduate courses in Probability and Stochastic Analysis, and in Mathematical Finance. No prior familiarity with finance is required, but it is assumed that readers have a good working knowledge of real analysis, measure theory, and of basic probability theory. Familiarity with stochastic analysis is also assumed, as is integration with respect to continuous semimartingales.

Ioannis Karatzas, Columbia University, New York, NY.

Constantinos Kardaras, London School of Economics and Political Science, UK.

SKU	Nicht verfügbar
ISBN 13	9781470465988
ISBN 10	1470465981
Titel	Portfolio Theory and Arbitrage
Autor	Ioannis Karatzas
Serie	Graduate Studies In Mathematics
Buchzustand	Nicht verfügbar
Bindungsart	Paperback
Verlag	American Mathematical Society
Erscheinungsjahr	2022-02-28
Seitenanzahl	309
Hinweis auf dem Einband	Die Abbildung des Buches dient nur Illustrationszwecken, die tatsächliche Bindung, das Cover und die Auflage können sich davon unterscheiden.
Hinweis	Nicht verfügbar