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Arbitrage Theory in Continuous Time by Tomas Bjork
Provides an introduction to the mathematical underpinnings of finance, which concentrates on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal control theory, and Merton's fund separation theory. This title includes numerous exercises and a Further Reading list in each chapter.The second edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal control theory and Merton's fund separation theory, the book is designed for graduate students and combines necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. In this substantially extended new edition Bjork has added separate and complete chapters on measure theory, probability theory, Girsanov transformations, LIBOR and swap market models, and martingale representations, providing two full treatments of arbitrage pricing: the classical delta-hedging and the modern martingales. More advanced areas of study are clearly marked to help students and teachers use the book as it suits their needs. |
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| Author(s) : Tomas Bjork | Format : Hardback Book |
| ISBN-10 : 0199271267 | ISBN-13 : 9780199271269 |
| RRP : £37.00 | Best available price : £ / $ |
| Prices as of : BST check live prices | |
Product Details:
Series Title : Oxford Finance S.
Country Publication : United Kingdom
Publication Date : 04/03/2004
Publisher : Oxford University Press
Page Length : 496mm
Page Size : 234mm