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Arbitrage theory in continuous time

Author: Tomas Björk
Publisher: Oxford : Oxford Univ. Press, [2008]
Edition/Format:   Print book : English : 2. ed., [Nachdr.]View all editions and formats
Summary:

Provides an introduction to the mathematical underpinnings of finance, which concentrates on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic  Read more...

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Document Type: Book
All Authors / Contributors: Tomas Björk
ISBN: 9780199271269 0199271267
OCLC Number: 315596503
Description: XVIII, 466 Seiten : Diagramme
Contents: 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
Responsibility: Tomas Björk.

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"[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, Read more...

 
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