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Arbitrage Theory in Continuous Time

Arbitrage Theory in Continuous Time - 2nd edition

ISBN13: 978-0199271269

Cover of Arbitrage Theory in Continuous Time 2ND 04 (ISBN 978-0199271269)
ISBN13: 978-0199271269
ISBN10: 0199271267
Cover type:
Edition/Copyright: 2ND 04
Publisher: Oxford University Press
Published: 2004
International: No

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Arbitrage Theory in Continuous Time - 2ND 04 edition

ISBN13: 978-0199271269

Tomas Bjork

ISBN13: 978-0199271269
ISBN10: 0199271267
Cover type:
Edition/Copyright: 2ND 04
Publisher: Oxford University Press

Published: 2004
International: No
Summary

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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