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A Mathematical Study of Arbitrage

Jeremy Judah Stone

出版	Rand Corporation, 1958
URL	http://books.google.com.hk/books?id=PzIeOAAACAAJ&hl=&source=gbs_api

註釋

This paper is a systematic study of the mathematical structure underlying nearly perfect exchange markets which are spatially or temporally separated. The principal questions investigated are 'what are equilibrium conditions for a set of exchange rates' and 'How can arbitrage possibilities be discovered, if they exist.' The analysis involves the combined use of an algebraic representation, which is conducive to the derivation of qualitative features characterizing a multi-exchange market; and two linear programming models, one of which has use in establishing a desirable set of equilibrium exchange rates, and the other of which has a special form permitting an efficient computational scheme for discovering arbitrage possibilities. (Author).