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Lecture
Asset Pricing Theory: Dynamic Arbitrage Pricing
Description
This lecture covers the first theorem of asset pricing in a discrete-time economy with risky assets, dynamics of self-financing portfolios, replication using binomial trees, Kolmogorov equations, stochastic integrals, and the relation between arbitrage and martingales. The instructor discusses the concepts of viability, contingent claims, completeness of markets, and pricing and hedging strategies in complete markets.
Official source
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