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The Fundamental Theorem of Asset Pricing
I've been teaching the Derivative Securities course in the NYU mathematical finance program at Courant for the past couple of years and was a bit shocked that there is no proof of the FTAP accessible to graduate level students available in the literature. There is still no simple proof available in the literature. This paper was rejected because the referee thought the proof was too simple. Time to change the title and submit somewhere else.(A Simple Proof of) The Fundamental Theorem of Asset Pricing: Discrete Time
The Fundamental Theorem of Asset Pricing
indeed, writing simple proofs will get you no publications in financial mathematics. Maybe you should try this place:http://www.math.pacificu.edu/~emmons/JofUR/
The Fundamental Theorem of Asset Pricing
My kind of journal.I'm using your interview questions book for the course this year, btw. Good stuff in there.
Last edited by kimosabe on January 27th, 2011, 11:00 pm, edited 1 time in total.
The Fundamental Theorem of Asset Pricing
Have you considered SIAM J. Financial Mathematics ? Being a 'math' first organization, they might be more interested. The journals that the original "fundamental theorem..." papers were published in might be interested---but as with most journals a long lead time.
The Fundamental Theorem of Asset Pricing
To add to mj's post: http://math.rejecta.org/ is a very nice journal too.
The Fundamental Theorem of Asset Pricing
rejecta only seems to have one issue. Are they still publishing?Glad to hear that my book is being used a course book. I always thought that it would have a great advantage of killing all the "why are we doing this?" questions.