2009 | OriginalPaper | Buchkapitel
Arbitrage Theory
verfasst von : Damir Filipović
Erschienen in: Term-Structure Models
Verlag: Springer Berlin Heidelberg
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This chapter briefly recalls the fundamental arbitrage principles in a Brownian-motion-driven financial market. The basics of stochastic calculus are provided without proofs. Standard terminology is employed without further explanation. Readers are requested to consult one of the many text books on stochastic calculus. References are given in the notes section. The main pillars for financial applications are Itô’s formula, Girsanov’s change of measure theorem, and the martingale representation theorem.