Understanding Arbitrage: An Intuitive Approach to Financial Analysis

Index

A

absence of arbitrage, 4

absolute convergence process, 15

absolute PPP, 76–78

absolute prices, 30

all-equity capital structure, 173

analogies, M&M model, 165–166

APT (Arbitrage Pricing Theory), 4, 28, 37

one-factor model, 37–42

two-factor model, 43–48

arbitrageurs, 2

arbs, 2

Asian Tiger currency crisis, 130

assets

mispriced combinations, 30–32

prices

convergence, 14–15

fairness value, 4–5

Law of One Expected Return, 3

Law of One Price, 3, 5–8

structure, 3–5

riskless modifications, 8

B

backward induction valuation technique, option pricing, 137–138

bank of England, George Soros, 99–100

Bernstein, Peter L., 1

beta, 35

binomial pricing approach (option pricing), 129–132

determinants of option prices, 132–133

one-period

arbitrage-free call ...