短通信:德菲内蒂早期贡献中的(稳健的)套利理论的诞生

IF 1.4 4区经济学 Q3 BUSINESS, FINANCE

SIAM Journal on Financial Mathematics Pub Date : 2023-11-15 DOI:10.1137/23m1604096

Marco Maggis

{"title":"短通信:德菲内蒂早期贡献中的(稳健的)套利理论的诞生","authors":"Marco Maggis","doi":"10.1137/23m1604096","DOIUrl":null,"url":null,"abstract":"SIAM Journal on Financial Mathematics, Volume 14, Issue 4, Page SC49-SC59, December 2023. <br/> Abstract. Il significato soggettivo della probabilità (1931) by B. de Finetti is unanimously considered the rise of “subjectivism,” a notion which strongly influenced both probability and decision theory. What is less acknowledged is that in 1931 de Finetti posed the foundations of modern arbitrage theory. In this paper we aim at examining how de Finetti’s contribution should be considered as the precursor of asset pricing theory and we show how his findings relate to recent developments in robust finance.","PeriodicalId":48880,"journal":{"name":"SIAM Journal on Financial Mathematics","volume":"59 3 1","pages":""},"PeriodicalIF":1.4000,"publicationDate":"2023-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Short Communication: The Birth of (a Robust) Arbitrage Theory in de Finetti’s Early Contributions\",\"authors\":\"Marco Maggis\",\"doi\":\"10.1137/23m1604096\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"SIAM Journal on Financial Mathematics, Volume 14, Issue 4, Page SC49-SC59, December 2023. <br/> Abstract. Il significato soggettivo della probabilità (1931) by B. de Finetti is unanimously considered the rise of “subjectivism,” a notion which strongly influenced both probability and decision theory. What is less acknowledged is that in 1931 de Finetti posed the foundations of modern arbitrage theory. In this paper we aim at examining how de Finetti’s contribution should be considered as the precursor of asset pricing theory and we show how his findings relate to recent developments in robust finance.\",\"PeriodicalId\":48880,\"journal\":{\"name\":\"SIAM Journal on Financial Mathematics\",\"volume\":\"59 3 1\",\"pages\":\"\"},\"PeriodicalIF\":1.4000,\"publicationDate\":\"2023-11-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"SIAM Journal on Financial Mathematics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1137/23m1604096\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"SIAM Journal on Financial Mathematics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1137/23m1604096","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

《金融数学学报》，第14卷，第4期，第49- 59页，2023年12月。摘要。B. de Finetti的《Il significato soggettivo della probabilitom》(1931)被一致认为是“主观主义”的兴起，这一概念强烈地影响了概率论和决策理论。不太为人所知的是，德菲内蒂在1931年提出了现代套利理论的基础。在本文中，我们旨在研究如何将德菲内蒂的贡献视为资产定价理论的先驱，并展示他的发现如何与稳健金融的最新发展联系起来。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Short Communication: The Birth of (a Robust) Arbitrage Theory in de Finetti’s Early Contributions

SIAM Journal on Financial Mathematics, Volume 14, Issue 4, Page SC49-SC59, December 2023.
Abstract. Il significato soggettivo della probabilità (1931) by B. de Finetti is unanimously considered the rise of “subjectivism,” a notion which strongly influenced both probability and decision theory. What is less acknowledged is that in 1931 de Finetti posed the foundations of modern arbitrage theory. In this paper we aim at examining how de Finetti’s contribution should be considered as the precursor of asset pricing theory and we show how his findings relate to recent developments in robust finance.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

SIAM Journal on Financial Mathematics MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-

CiteScore

2.30

自引率

10.00%

发文量

期刊介绍： SIAM Journal on Financial Mathematics (SIFIN) addresses theoretical developments in financial mathematics as well as breakthroughs in the computational challenges they encompass. The journal provides a common platform for scholars interested in the mathematical theory of finance as well as practitioners interested in rigorous treatments of the scientific computational issues related to implementation. On the theoretical side, the journal publishes articles with demonstrable mathematical developments motivated by models of modern finance. On the computational side, it publishes articles introducing new methods and algorithms representing significant (as opposed to incremental) improvements on the existing state of affairs of modern numerical implementations of applied financial mathematics.