Asset Pricing Theory: Dynamic Arbitrage Pricing

In course

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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.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_atosxilx

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Ontological neighbourhood

Economics

Microeconomics: Financial economics

Mathematics

Analysis: Measure theory

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