| Document Type
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BL
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| Record Number
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957206
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| Doc. No
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b711576
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| Main Entry
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Björk, Tomas.
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| Title & Author
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Arbitrage theory in continuous time /\ Tomas Björk.
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| Edition Statement
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3rd ed.
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| Publication Statement
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Oxford ;New York :: Oxford University Press,, 2009.
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| Series Statement
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Oxford Finance
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| Page. NO
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1 online resource (xx, 525 pages) :: illustrations
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| ISBN
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0191572004
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: 019957474X
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: 9780191572005
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: 9780199574742
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| Bibliographies/Indexes
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Includes bibliographical references (pages 514-520) and index.
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| Contents
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The binomial model -- A more general one period model -- Stochastic integrals -- Differential equations -- Portfolio dynamics -- Arbitrage pricing -- Completeness and hedging -- Parity relations and delta hedging -- The Martingale approach to arbitrage theory -- The mathematics of the Martingale approach -- Black-Scholes from a Martingale point of view -- Multidimensional models : classical approach -- Multidimensional models : Martingale approach -- Incomplete markets -- Dividends -- Currency derivatives -- Barrier options -- Stochastic optimal control -- The Martingale approach to optimal investment -- Optimal stopping theory and American options -- Bonds and interest rates -- Short rate models -- Martingale models for the short rate -- Forward rate models -- Change of numeraire -- LIBOR and swap market models -- Potentials and positive interest -- Forwards and futures -- Measure and inegration -- Probability theory -- Martingales and stopping time.
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| Abstract
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The third 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 fur.
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| Subject
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Arbitrage-- Mathematical models.
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| Subject
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Derivative securities-- Mathematical models.
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| Subject
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Arbitrage-- Mathematical models.
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| Subject
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BUSINESS ECONOMICS-- Investments Securities-- General.
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| Subject
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Derivative securities-- Mathematical models.
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| Dewey Classification
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332.64/5
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| LC Classification
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HG6024.A3B567 2009eb
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