论“套利、近似套利与资产定价基本定理”

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED

Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2014-10-24 DOI:10.1080/17442508.2014.899601

Bernard Wong

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引用次数: 0

摘要

我要感谢Fontana博士对我们上一篇论文的批判性分析，在这篇论文中，我们的目标是(在更有限的环境中)提供资产定价基本定理的另一种证明(参见，例如[1,2])。虽然对论文中的错误自然感到失望，但我希望Fontana博士[3]提供的额外分析能够为期刊读者提供对基本定理的更好理解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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On ‘A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing’

February 26, 2014 I would like to thank Dr Fontana for the critical analysis of our previous paper, in which we had aimed to provide an alternative proof (in a more limited setting) of the Fundamental Theorem of Asset Pricing (see, for example [1,2]). While naturally disappointed with the mistakes made in our paper, I am hopeful that the additional analysis provided by Dr Fontana [3] provides an enhanced understanding of the Fundamental Theorem for the readers of the journal.

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来源期刊

Stochastics-An International Journal of Probability and Stochastic Processes MATHEMATICS, APPLIED-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastics: An International Journal of Probability and Stochastic Processes is a world-leading journal publishing research concerned with stochastic processes and their applications in the modelling, analysis and optimization of stochastic systems, i.e. processes characterized both by temporal or spatial evolution and by the presence of random effects. Articles are published dealing with all aspects of stochastic systems analysis, characterization problems, stochastic modelling and identification, optimization, filtering and control and with related questions in the theory of stochastic processes. The journal also solicits papers dealing with significant applications of stochastic process theory to problems in engineering systems, the physical and life sciences, economics and other areas. Proposals for special issues in cutting-edge areas are welcome and should be directed to the Editor-in-Chief who will review accordingly. In recent years there has been a growing interaction between current research in probability theory and problems in stochastic systems. The objective of Stochastics is to encourage this trend, promoting an awareness of the latest theoretical developments on the one hand and of mathematical problems arising in applications on the other.