Absence of Arbitrage Valuation A Unified Framework for Pricing Asset
Absence of Arbitrage Valuation presents a unified asset pricing strategy through absence of arbitrage and applies this framework to such disparate fields as fixed income security pricing, foreign exchange spots, and forward rates.
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Copyright material from www.palgraveconnect.com - licensed to City University London - PalgraveConnect - 2016-04-04
Absence of Arbitrage Valuation
10.1057/9781137372871 - Absence of Arbitrage Valuation, Paskalis Glabadanidis
10.1057/9781137372871 - Absence of Arbitrage Valuation, Paskalis Glabadanidis
Copyright material from www.palgraveconnect.com - licensed to City University London - PalgraveConnect - 2016-04-04
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A Unified Framework for Pricing Assets and Securities Paskalis Glabadanidis
10.1057/9781137372871 - Absence of Arbitrage Valuation, Paskalis Glabadanidis
Copyright material from www.palgraveconnect.com - licensed to City University London - PalgraveConnect - 2016-04-04
Absence of Arbitrage Valuation
ABSENCE OF ARBITRAGE VALUATION
Copyright © Paskalis Glabadanidis, 2014.
Where this book is distributed in the UK, Europe and the rest of the world, his is by Palgrave Macmillan, a division of Macmillan Publishers Limited, registered in England, company number 785998, of Houndmills, Basingstoke, Hampshire RG21 6XS. Palgrave Macmillan is the global academic imprint of the above companies and has companies and representatives throughout the world. Palgrave® and Macmillan® are registered trademarks in the United States, the United Kingdom, Europe and other countries. ISBN: 978–1–137–37302–1 Library of Congress Cataloging-in-Publication Data Glabadanidis, Paskalis. Absence of arbitrage valuation : a unified framework for pricing assets and securities / Paskalis Glabadanidis. pages cm Includes bibliographical references and index. ISBN 978–1–137–37302–1 (hardback: alk. paper) 1. Arbitrage. 2. Securities—Valuation. 3. Investments—Valuation. I. Title. HG4521.G5476 2014 332.64’5–dc23 2014000485 A catalogue record of the book is available from the British Library. Design by Newgen Knowledge Works (P) Ltd., Chennai, India. First edition: July 2014 10 9 8 7 6 5 4 3 2 1
10.1057/9781137372871 - Absence of Arbitrage Valuation, Paskalis Glabadanidis
Copyright material from www.palgraveconnect.com - licensed to City University London - PalgraveConnect - 2016-04-04
All right reserved. First published in 2014 by PALGRAVE MACMILLAN® in the United States—a division of St. Martins Press LLC, 175 Fifth Avenue, New York, NY 10010.
10.1057/9781137372871 - Absence of Arbitrage Valuation, Paskalis Glabadanidis
Copyright material from www.palgraveconnect.com - licensed to City University London - PalgraveConnect - 2016-04-04
To M. who is still learning the value of everything.
10.1057/9781137372871 - Absence of Arbitrage Valuation, Paskalis Glabadanidis
Copyright material from www.palgraveconnect.com - licensed to City University London - PalgraveConnect - 2016-04-04
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List of Figures
xi
List of Tables
xiii
1 Asset Pricing Models 1.1 Future Value 1.2 Present Value 1.3 Perpetuities 1.4 Annuities 1.5 Capital Asset Pricing Model 1.5.1 The Case of Two Risky Securities 1.5.2 The Case of Multiple Risky Securities 1.6 Fama–French Three-Factor M
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