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Palgrave Macmillan

Arbitrage

Elements of Financial Economics

  • Book
  • © 1991

Overview

Authors:
  1. Michael Allingham

    1. University of Kent, UK

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Table of contents (7 chapters)

  1. Front Matter

    Pages i-ix
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  2. Foundations

    1. Front Matter

      Pages 1-1
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    2. Securities and Arbitrage

      • Michael Allingham
      Pages 3-15

    3. The Basic Arbitrage Theorem

      • Michael Allingham
      Pages 17-44

  3. A Single Period

    1. Front Matter

      Pages 45-45
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    2. Exact Arbitrage: A Capital Asset Pricing Model

      • Michael Allingham
      Pages 47-68

    3. Approximate Arbitrage: The Arbitrage Pricing Technique

      • Michael Allingham
      Pages 69-97

  4. Many Periods

    1. Front Matter

      Pages 99-99
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    2. Static Arbitrage: Forwards and Futures

      • Michael Allingham
      Pages 101-118

    3. Dynamic Arbitrage: Options

      • Michael Allingham
      Pages 119-162

    4. Information Arbitrage: Market Efficiency

      • Michael Allingham
      Pages 163-167

  5. Back Matter

    Pages 169-171
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Keywords

About this book

A text using the concept of arbitrage to value securities, that is to construct the elements of financial economics. Divided into three parts, the book develops the foundations for the study, applies the basic theorem in a single-period setting and extends the discussion to a many-period setting.

Authors and Affiliations

  • University of Kent, UK

    Michael Allingham

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