Arbitrage Theory

Damir Filipović ()
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Damir Filipović: University of Vienna, and Vienna University of Economics and Business

Chapter Chapter 4 in Term-Structure Models, 2009, pp 59-77 from Springer

Abstract: Abstract This chapter briefly recalls the fundamental arbitrage principles in a Brownian-motion-driven financial market. The basics of stochastic calculus are provided without proofs. Standard terminology is employed without further explanation. Readers are requested to consult one of the many text books on stochastic calculus. References are given in the notes section. The main pillars for financial applications are Itô’s formula, Girsanov’s change of measure theorem, and the martingale representation theorem.

Keywords: Asset Price; Risky Asset; Contingent Claim; Martingale Measure; Stochastic Calculus (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-540-68015-4_4

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DOI: 10.1007/978-3-540-68015-4_4

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