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3 results

  • 1 - Market and Arbitrage Pricing

  • Costis Skiadas, Northwestern University, Illinois
  • Book:
    Theoretical Foundations of Asset Pricing
    Published online:
    06 February 2025
    Print publication:
    13 February 2025, pp 1-41
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  • Summary

    This chapter formally defines a financial market and associated constructs, and lays the foundations for arbitrage pricing and dynamic replication (or hedging) through trading strategies.

Theoretical Foundations of Asset Pricing
  • Costis Skiadas
  • Published online:
    06 February 2025
    Print publication:
    13 February 2025
  • This text provides an advanced introduction to the modeling of competitive financial markets, encompassing arbitrage and equilibrium pricing of financial contracts, as well as optimal lifetime consumption and portfolio choice. Notable features include its coverage of recursive utility in discrete and continuous time and several results not previously available in book form. Each chapter concludes with a set of exercises, with solutions available to verified instructors. Ideal as a graduate-level course text, this book can also serve as a valuable reference for researchers and finance industry practitioners. Readers with a finance focus can use the text to build analytical foundations for a significant component of the economics of financial markets, while readers with a mathematics focus will find a well-motivated introduction to basic tools of stochastic analysis and convex analysis.

  • 16 - Basic Arbitrage Theory

  • from Part V - Applications in Financial Economics
  • Tomas Björk, Stockholm School of Economics
  • Book:
    Point Processes and Jump Diffusions
    Published online:
    27 May 2021
    Print publication:
    17 June 2021, pp 173-187

  • Summary

    This chapter contains an introduction to financial economics, giving the reader the necessary background for the rest of the text. It coversportfolio theory, arbitrage theory, martingale measures, change of numeraire, stochastic discount factors, Hansen–Jagannathan bounds, dividends and consumption.