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.

About this result
This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.

Graph Chatbot

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.