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Arbitrage Theory in Continuous Time (Oxford Finance Series) - Hardcover

Björk, Tomas

 
9780199271269: Arbitrage Theory in Continuous Time (Oxford Finance Series)
Hardcover
ISBN 10: 0199271267 ISBN 13: 9780199271269
Publisher: OUP Oxford, 2004

Synopsis

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.

"synopsis" may belong to another edition of this title.

Product 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.

Review

"[This book] does attempt to present the main concepts of modern mathematical finance without becoming tied down in measure theoretic technicalities. In this the book, now in its second edition, succeeds reasonably well."--SIAM Review "[This book] does attempt to present the main concepts of modern mathematical finance without becoming tied down in measure theoretic technicalities. In this the book, now in its second edition, succeeds reasonably well."--SIAM Review "[This book] does attempt to present the main concepts of modern mathematical finance without becoming tied down in measure theoretic technicalities. In this the book, now in its second edition, succeeds reasonably well."--SIAM Review "[This book] does attempt to present the main concepts of modern mathematical finance without becoming tied down in measure theoretic technicalities. In this the book, now in its second edition, succeeds reasonably well."--SIAM Review " This book does attempt to present the main concepts of modern mathematical finance without becoming tied down in measure theoretic technicalities. In this the book, now in its second edition, succeeds reasonably well."--SIAM Review

"About this title" may belong to another edition of this title.

Publisher
OUP Oxford
Publication date
2004
Language
English
ISBN 10 
0199271267
ISBN 13 
9780199271269
Binding
Hardcover
Edition number
2
Number of pages
496