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- W1967372117 abstract "This paper is an introduction to the mathematical theory of arbitrage. Examples of the graph-theoretic mathematics of arbitrage are given in economics, electrical circuit theory (Kirchhoff’s voltage law), engineering, social group theory, and thermodynamics. The arbitrage framework is used to develop an economic interpretation for cofactors, determinants, Cramer’s rule, and inverse matrices. This is applied to subjective probability theory and classical optimization theory. Arbitrage enforces the laws of probability on the market for contingent claims. Markets are mathematically associated with any classical optimization problem so that the first order necessary conditions are equivalent to the markets being arbitrage-free. The arbitrage-free market prices are the Lagrange multipliers." @default.
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- W1967372117 date "1984-04-01" @default.
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- W1967372117 title "Arbitrage Theory: A Mathematical Introduction" @default.
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- W1967372117 doi "https://doi.org/10.1137/1026035" @default.
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