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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

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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