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An Introduction to No-Arbitrage Pricing

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If you have a question about this talk, please contact Elena Yudovina .

First, we consider pricing by expectation under the objective measure. We’ll see that this may admit arbitrage (riskless profit) which would lead to unrealistic market models. To solve this problem, we discuss the no arbitrage approach to pricing, and prove the First Fundamental Theorem of Asset Pricing. We consider replicable claims and discuss the Second Fundamental Theorem of Asset Pricing. Finally, we use all the methods discussed to calculate prices in a simple example.

This talk is part of the Statistical Laboratory Graduate Seminars series.

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TCM - Seminar Room (room 530), Bragg Building, Cavendish Laboratory. N/A Cambridge Assessment

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