Arbitrage and Martingales
Identifieur interne : 003C96 ( Istex/Curation ); précédent : 003C95; suivant : 003C97Arbitrage and Martingales
Auteurs : J. Michael Steele [États-Unis]Source :
- Applications of Mathematics [ 0172-4568 ] ; 2001.
Abstract
Abstract: The martingale theory of arbitrage pricing is one of the greatest triumphs of probability theory. It is of immense practical importance, and it has a direct bearing on financial transactions that add up to billions of dollars per day. It is also of great intellectual appeal because it unites our economic understanding of the world with genuinely refined insights from the theory of stochastic integration.
Url:
DOI: 10.1007/978-1-4684-9305-4_14
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