Arbitrage: Elements of Financial Economics

by Michael G. Allingham

Overview

A text using the concept of arbitrage to value securities, that is to construct the elements of financial economics. Divided into three parts, the book develops the foundations for the study, applies the basic theorem in a single-period setting and extends the discussion to a many-period setting.

Product Details

ISBN-13:	9780333557815
Publisher:	Palgrave Macmillan UK
Publication date:	07/01/1991
Edition description:	1991
Pages:	171
Product dimensions:	5.51(w) x 8.50(h) x (d)

Table of Contents

Part 1 Foundations: securities and arbitrage; the basic arbitrage theorem. Part 2 A single period: exact arbitrage - a capital asset pricing model; approximate arbitrage - the arbitrage pricing technique. Part 3 Many periods: static arbitrage - futures; dynamic arbitrage - options; risk arbitrage - market efficiency.