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Arbitrage Theory in Continuous Time - 3rd edition

by Rumu Sarkar

Arbitrage Theory in Continuous Time (ISBN10: 019957474X; ISBN13: 9780199574742)
ISBN13: 978-0199574742
ISBN10: 019957474X

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 ...show more 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. ...show less

Edition/Copyright: 3RD 09
Cover: Hardcover
Publisher: Oxford University Press
Published: 10/04/2009
International: No

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