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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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Mar 27, 2010 We are going to focus on Arbitrage Pricing Theory admit arbitrage? “ Equivalent Martingale (Probability) Measure” (EMM) or. “Risk-Neutral

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Mar 27, 2010 We are going to focus on Arbitrage Pricing Theory admit arbitrage? “ Equivalent Martingale (Probability) Measure” (EMM) or. “Risk-Neutral

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Pages:	69
Language:	English
File Size:	0.87
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