ENGLISH

Arbitrage theory in continuous time

By Tomas Björk

Book information

Publisher
Oxford University Press
Year
2004
ISBN
9780191533846, 9780199271269, 0199271267, 0198775180, 9780198775188
LCC
HG6024.A3 B567 2004
Open Library ID
OL3320964M
Language
english
Format
DJVU
Filesize
4 MB (4438622 bytes)
Series
Oxford Finance Series
Edition
2nd ed
Pages
481\481
Library
kolxoz
DPI
300
Scanned
yes
Time added
2009-07-20 03:45:11

Description

The second edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sounds mathematical principles with economic applications. Concentrating on the probabilistics 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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