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Free Lunch

Kardaras, Constantinos (2010) Free Lunch. In: Cont, Rama, (ed.) Encyclopedia of Quantitative Finance. John Wiley & Sons, Chichester, UK. ISBN 9780470057568

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Identification Number: 10.1002/9780470061602.eqf04013

Abstract

The concept of absence of opportunities for free lunches is one of the pillars in the economic theory of financial markets. This natural assumption has proved very fruitful and has lead to great mathematical, as well as economical, insights in quantitative finance. Formulating rigorously, the exact definition of absence of opportunities for riskless profit turned out to be a highly nontrivial fact that troubled mathematicians and economists for at least two decades. The purpose of this article is to give a quick (and, hence necessarily, incomplete) account of the recent work aimed at providing a simple and intuitive no-free-lunch assumption that would suffice in formulating a version of the celebrated fundamental theorem of asset pricing.

Item Type: Book Section
Official URL: http://www.wiley.com/
Additional Information: © 2010 John Wiley & Sons, Ltd.
Divisions: Statistics
Subjects: H Social Sciences > HG Finance
Sets: Departments > Statistics
Date Deposited: 04 Dec 2017 11:43
Last Modified: 31 Jul 2020 23:22
URI: http://eprints.lse.ac.uk/id/eprint/85938

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