Arbitrage Theory in Continuous Time

Tomas Bjork

484 pages, parution le 04/03/2004 (2^eme édition)

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Résumé

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.

Sommaire

Introduction
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
Bonds and Interest Rates
Short Rate Models
Martingale Models for the Short Rate
Forward Rate Models
Change of Numeraire
LIBOR and Swap Market Models
Forwards and Futures
Measure and Integration
Probability Theory
Martingales and Stopping Times

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Oxford University Press
Auteur(s)	Tomas Bjork
Parution	04/03/2004
Édition	2^eme édition
Nb. de pages	484
Couverture	Broché
Poids	893g
Intérieur	Noir et Blanc
EAN13	9780199271269
ISBN13	978-0-19-927126-9