Table of Content
A Guided Tour to Arbitrage Theory.- The Story in a Nutshell.- Models of Financial Markets on Finite Probability Spaces.- Utility Maximisation on Finite Probability Spaces.- Bachelier and Black-Scholes.- The Kreps-Yan Theorem.- The Dalang-Morton-Willinger Theorem.- A Primer in Stochastic Integration.- Arbitrage Theory in Continuous Time: an Overview.- The Original Papers.- A General Version of the Fundamental Theorem of Asset Pricing (1994).- A Simple Counter-Example to Several Problems in the Theory of Asset Pricing (1998).- The No-Arbitrage Property under a Change of Numéraire (1995).- The Existence of Absolutely Continuous Local Martingale Measures (1995).- The Banach Space of Workable Contingent Claims in Arbitrage Theory (1997).- The Fundamental Theorem of Asset Pricingfor Unbounded Stochastic Processes (1998).- A Compactness Principle for Bounded Sequences of Martingales with Applications (1999).
About the author
Walter Schachermeyer, born in 1950 in Linz, Austria, has received–as the first mathematician–the 1998 Wittgenstein Award, Austria’s highest honor for scienctific achievement. Since 1998 he holds the Chair for Actuarial and Financial Mathematics at the Vienna University of Technolgoy. Among his achievements is the proof of the ‘Fundamental Theorem of Asset Pricing’ in its general form, which was done in joint work with Freddy Delbaen.
Freddy Delbaen, born in 1946 in Duffel/Antwerpen, Belgium, is Professor for Financial Mathematics at the ETH in Zurich since 1995.
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