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Arbitrage Pricing of Contingent Claims (Paperback, Softcover reprint of the original 1st ed. 1985)
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Arbitrage Pricing of Contingent Claims (Paperback, Softcover reprint of the original 1st ed. 1985)
Series: Lecture Notes in Economics and Mathematical Systems, 254
Expected to ship within 10 - 15 working days
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This book is intended as a contribution to the theory of contingent
claim valuation based on arbitrage considerations. It is concerned
with preference-free valuations of contingent claims (such as
options written on a stock) in frictionless multiperiod securities
markets that do not permit arbitrage profits. Besides the question
of pricing it considers the possibility of hedging in securities
markets. The research reported in this book was carried out at the
Institut fUr Gesellschafts- und Wirtschaftswissenschaften,
University of Bonn. While working in this field and preparing this
monograph I received helpful comments and encouragement from many
people, and I would like to thank all of them. Special thanks are
due to Prof. Dr. Dieter Sonder- mann. He first stimulated my
interest in the theory of contingent claim valuation and commented
on my work at various stages. Furthermore, I would like to thank
Profs. Martin Hellwig, Peter Schonfeld and Klaus SchUrger, all
University of Bonn, for helpful comments on earlier ver- sions of
this monograph. Parts of this monograph were presented at va- rious
meetings including the European Meeting of the Econometric Socie-
ty, Pisa 1983, the European Meeting of the Econometric Society,
Madrid 1984, and the third Conference "Geld, Banken und
Versicherungen", Karls- ruhe 1984. I greatly appreciate comments of
Profs. Stephen Ross, Yale University, and Michael Brennan, UCLA. I
take this opportunity to ex- press my indebtness to my colleague
Dr. Shinichiro Nakamura for his con- stant encouragement during the
laborious process of writing this mono- graph.
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