Michael Allingham
Abstract
Part 1 Foundations: securities and arbitrage the basic arbitrage theorem. Part 2 A single period: exact arbitrage - a capital asset pricing model approximate arbitrage - the arbitrage pricing technique. Part 3 Many periods: static arbitrage - futures dynamic arbitrage - options risk arbitrage - market efficiency.
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Part 1 Foundations: securities and arbitrage the basic arbitrage theorem. Part 2 A single period: exact arbitrage - a capital asset pricing model approximate arbitrage - the arbitrage pricing technique. Part 3 Many periods: static arbitrage - futures dynamic arbitrage - options risk arbitrage - market efficiency.
Key concepts: Arbitrage, Index arbitrage, Fixed income arbitrage, Risk arbitrage, Arbitrage pricing theory, Fundamental theorem of asset pricing, Statistical arbitrage, Convertible arbitrage