Arbitrage theory in continuous time
Professor Bjork provides an accessible introduction to the classical underpinnings of the central mathematical theory behind modern finance. Combining sound mathematical principles with the necessary economic focus, Arbitrage Theory in Continuous Time is specifically designed for graduate students, and includes solved examples for every new technique presented, numerous exercises, and Further Reading lists for 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
1 online resource (xii, 311 pages) : illustrations
9780191525100, 9780191595981, 9786612054020, 9781282054028, 0191525103, 0191595985, 6612054026, 1282054023
435942165
1. Introduction; 2. The Binomial Model; 3. Stochastic Integrals; 4. Differential Equations; 5. Portfolio Dynamics; 6. Arbitrage Pricing; 7. Complete Markets; 8. Properties of the Pricing Formulae; 9. Several Underlying Assets; 10. Incomplete Markets; 11. Barrier Options; 12. Dividends; 13. Currency Derivatives; 14. Stochastic Optimal Control; 15. The Term Structure of Interest Rates; 16. Short Rate Models; 17. Forward Rate Models; 18. Change of Numeraire
English
doi.org Full-text
pmt-eu.hosted.exlibrisgroup.com Oxford Scholarship - Oxford University Press: Economics and Finance