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Arbitrage Theory in Continuous Time

Librairie Eyrolles - Paris 5e
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Arbitrage Theory in Continuous Time

Arbitrage Theory in Continuous Time

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

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
Voir tout
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Caractéristiques techniques du livre "Arbitrage Theory in Continuous Time"

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

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