There are two subparts to Fundamental Asset Pricing theorem. The Law Of One Price (LOOP thereafter) holds if and only if there exists a state price vector. In a market in which the LOOP holds, the ...
I am trying to prove that the Absence of arbitrage statement (AOA) does not necessarily imply the law of one price (LOP). For the definitions of these concepts I am using Cochrane's book "Asset ...
I'm struggling to prove the CVA formula in this paper. Equation (3) is the result of computing the expectation of formula (1). Could you please show me how to prove that?
For a OU/AR(1) process is there anyway to analytically calculated most probable period of time the process is likely to diverge from the average, before turning to converge. Basically I am looking ...
I am working on a problem where I have successfully reduced a version of Black Scholes to the Heat Equation and then shown the solution to be: ...
I am trying to develop a short course on financial theory, covering the fundamentals of forward and options pricing, and 'efficient market' theory. I want to reduce the amount of mathematics to a ...