Fama (1970) defined an efficient market as one in which prices always “fully reflect” available information. This paper formalizes this definition and provides various characterizations relating to equilibrium models, profitable trading strategies, and equivalent martingale measures. These...

Preface -- Contents -- Part I Arbitrage Pricing Theory -- Chapter 1 Stochastic Processes -- Chapter 2 The Fundamental Theorems -- Chapter 3 Asset Price Bubbles -- Chapter 4 Basis Assets, Multiple-Factor Beta Models, and Systematic Risk -- Chapter 5 The Black Scholes Merton Model -- Chapter 6 The...