A P-sigma-martingale density for a given stochastic process S is a local P-martingale Z0 starting at 1 such that the product ZS is a P-sigma-martingale. Existence of a P-sigma-martingale density is equivalent to a classic absence-of-arbitrage property of S, and it is invariant if we replace the...

This paper explores Samuelson's concept of the neoclassical synthesis. It is argued that his two main books hold out different types of synthesis. Foundations offered a synthesis based on common mathematical structures and presages the attempts to synthesize economics by Don Patinkin and Robert...

Frontmatter -- CONTENTS -- PREFACE -- ONE. NO ARBITRAGE: THE FUNDAMENTAL THEOREM OF FINANCE -- TWO. BOUNDING THE PRICING KERNEL, ASSET PRICING, AND COMPLETE MARKETS -- THREE. EFFICIENT MARKETS -- FOUR. A NEOCLASSICAL LOOK AT BEHAVIORAL FINANCE: THE CLOSED-END FUND PUZZLE -- BIBLIOGRAPHY -- INDEX