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A teachers’ note on no-arbitrage criteria. (English) Zbl 0982.60032
Azéma, Jacques (ed.) et al., Séminaire de Probabilités XXXV. Berlin: Springer. Lect. Notes Math. 1755, 149-152 (2001).
This short paper contains a very brief and simple proof of the classical Dalang-Morton-Willinger theorem concerning a discrete-time model of security market. This theorem sometimes is referred to as First Fundamental Theorem of mathematical finance. The new proof is based on two auxiliary lemmas, one of them is Kreps-Yan theorem. Only the results from standard syllabus are used, therefore the proof can be used in lecture courses.
For the entire collection see [Zbl 0960.00020].

MSC:
60G42 Martingales with discrete parameter
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