Table Of Content

Arbitrage Pricing What is an Equivalent Martingale Measure, and why should a bookie care? DepartmentofMathematics UniversityofTexasatAustin March 27, 2010 (cid:73) Arbitrage Pricing Theory (APT) (cid:73) Utility Maximization (and duality) (cid:73) General Equilibrium Pricing We are going to focus on Arbitrage Pricing Theory. Introduction What is Mathematical Finance? (cid:73) Utility Maximization (and duality) (cid:73) General Equilibrium Pricing We are going to focus on Arbitrage Pricing Theory. Introduction What is Mathematical Finance? (cid:73) Arbitrage Pricing Theory (APT) (cid:73) General Equilibrium Pricing We are going to focus on Arbitrage Pricing Theory. Introduction What is Mathematical Finance? (cid:73) Arbitrage Pricing Theory (APT) (cid:73) Utility Maximization (and duality) We are going to focus on Arbitrage Pricing Theory. Introduction What is Mathematical Finance? (cid:73) Arbitrage Pricing Theory (APT) (cid:73) Utility Maximization (and duality) (cid:73) General Equilibrium Pricing Introduction What is Mathematical Finance? (cid:73) Arbitrage Pricing Theory (APT) (cid:73) Utility Maximization (and duality) (cid:73) General Equilibrium Pricing We are going to focus on Arbitrage Pricing Theory. Definition Arbitrage (cid:73) "Something for nothing" (cid:73) A chance to make money with no possibility of loss Why do I care? (cid:73) People move in to take advantage and it goes away. (cid:73) If I am a bank, I don’t want the prices of the instruments that I sell to allow arbitrage. (cid:73) Academics and practitioners may disagree. What is Arbitrage? What is Arbitrage? Why do I care? (cid:73) People move in to take advantage and it goes away. (cid:73) If I am a bank, I don’t want the prices of the instruments that I sell to allow arbitrage. (cid:73) Academics and practitioners may disagree. What is Arbitrage? What is Arbitrage? Definition Arbitrage (cid:73) "Something for nothing" (cid:73) A chance to make money with no possibility of loss (cid:73) People move in to take advantage and it goes away. (cid:73) If I am a bank, I don’t want the prices of the instruments that I sell to allow arbitrage. (cid:73) Academics and practitioners may disagree. What is Arbitrage? What is Arbitrage? Definition Arbitrage (cid:73) "Something for nothing" (cid:73) A chance to make money with no possibility of loss Why do I care? What is Arbitrage? What is Arbitrage? Definition Arbitrage (cid:73) "Something for nothing" (cid:73) A chance to make money with no possibility of loss Why do I care? (cid:73) People move in to take advantage and it goes away. (cid:73) If I am a bank, I don’t want the prices of the instruments that I sell to allow arbitrage. (cid:73) Academics and practitioners may disagree.

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People move in to take advantage and it goes away. ▻ If I am a bank, I don't want the prices of the instruments that I sell to allow arbitrage.
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Arbitrage Pricing PDF

69 Pages·2010·0.87 MB·English
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People move in to take advantage and it goes away. ▻ If I am a bank, I don't want the prices of the instruments that I sell to allow arbitrage.

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Author:Unknown
Publication Year:2010
Pages:69
Language:English
File Size:0.87
Format:PDF
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