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

DOI10.1137/23m1604096zbMath1528.91075arXiv2310.07291OpenAlexW4388695477MaRDI QIDQ6143820

Marco Maggis

Publication date: 5 January 2024

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2310.07291

zbMATH Keywords

subjective probabilityarbitrage opportunitycoherent previsionlinear pricing rule

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) History of game theory, economics, and finance (91-03)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• A general version of the fundamental theorem of asset pricing
• De Finetti was right: Probability Does Not exist
• The fundamental theorems of prevision and asset pricing
• Fair bets and inductive probabilities
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Sul significato soggettivo della probabilità
• Pointwise Arbitrage Pricing Theory in Discrete Time
• Coherence and the axioms of confirmation
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