Arbitrage Theory in Continuous Time (Oxford Finance Series)

Björk, Tomas

ISBN 10: 019957474X / ISBN 13: 9780199574742

Editore: Oup Oxford, 2009

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This is an ex-library book and may have the usual library/used-book markings inside.This book has hardback covers. In good all round condition. Dust jacket in good condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,700grams, ISBN:9780199574742.

Codice articolo 3715859

Dati bibliografici

• Titolo: Arbitrage Theory in Continuous Time (Oxford Finance Series)
• Editore: Oup Oxford
• Data di pubblicazione: 2009
• Lingua: Inglese
• ISBN 10: 019957474X
• ISBN 13: 9780199574742
• Rilegatura: Rilegato
• Edizione: terza edizione
• Condizione: Good
• Condizione della sovraccoperta: sovraccoperta
• Peso: 700 grammi
• Cataloghi dei venditori:
  • Economics

Descrizione articolo

Riassunto

The third 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 the martingale approach to optimal investment problems, optimal stopping theory with applications to American options, and positive interest models and their connection to potential theory and stochastic discount factors.

More advanced areas of study are clearly marked to help students and teachers use the book as it suits their needs.

Informazioni sull?autore

Tomas Björk is Professor of Mathematical Finance at the Stockholm School of Economics. His background is in probability theory and he was formerly at the Mathematics Department of the Royal Institute of Technology in Stockholm. He is co-editor of Mathematical Finance and Associate Editor of Finance and Stochastics. He has published numerous journal articles on mathematical finance in general, and in particular on interest rate theory.