Arbitrage Theory in Continuous Time
2nd Edition
Published on 4. March 2004
Book
Hardback
496 pages
978-0-19-927126-9 (ISBN)
Description
The second 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 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.
More details
Series
Edition
2nd Revised edition
Language
English
Place of publication
Oxford
United Kingdom
Target group
Adult education
College/higher education
Edition type
Revised edition
Illustrations
references, index
Dimensions
Height: 234 mm
Width: 156 mm
Thickness: 31 mm
Weight
847 gr
ISBN-13
978-0-19-927126-9 (9780199271269)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
New editions
Tomas Bjoerk
Arbitrage Theory in Continuous Time
Book
12/2019
4th Edition
Oxford University Press
€83.50
Available immediately
Tomas Bjork
Arbitrage Theory in Continuous Time
Book
08/2009
3rd Edition
Oxford University Press
€73.04
Article exhausted; check for reprint
Previous edition
Tomas Bjork
Arbitage Theory in Continuous Time
Book
05/1999
Oxford University Press
€43.33
Article exhausted; check for reprint
Content
1. Introduction; 2. The Binomial Model; 3. A More General One Period Model; 4. Stochastic Integrals; 5. Differential Equations; 6. Portfolio Dynamics; 7. Arbitrage Pricing; 8. Completeness and Hedging; 9. Parity Relations and Delta Hedging; 10. The Martingale Approach to Arbitrage Theory (For advanced readers); 11. The Mathematics of the Martingale Approach (For advanced readers); 12. Black-Scholes from a Martingale Point of View (For advanced readers); 13. Multidimensional Models: Classical Approach; 14. Multidimensional Approach: Martingale Approach (For advanced readers); 15. Incomplete Markets; 16. Dividends; 17. Currency Derivatives; 18. Barrier Options; 19. Stochastic Optimal Control; 20. Bonds and Interest Rates; 21. Short Rate Models; 22. Martingale Models for the Short Rate; 23. Forward Rate Models; 24. Change of Numeraire (For advanced readers); 25. LIBOR and Swap Market Models; 26. Forwards and Futures; Appendix A Measure and Integration (For advanced readers); Appendix B Probability Theory (For advanced readers); Appendix C Martingales and Stopping Times (For advanced readers); References; Index