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Arbitrage theory in continuous time
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Arbitrage theory in continuous time

Author: Tomas Björk
Publisher: Oxford ; New York : Oxford University Press, 2004.
Edition/Format:   Book : English : 2nd edView all editions and formats
Summary:
"This is the textbook of choice for graduate students and advanced undergraduates studying finance and an invaluable introduction to mathematical finance for mathematicians and professionals in financial markets."--BOOK JACKET.
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Details

Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Tomas Björk
ISBN: 0199271267 9780199271269
OCLC Number: 53913068
Description: xviii, 466 p. : ill. ; 24 cm.
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 --
11. The Mathematics of the Martingale Approach --
12. Black-Scholes from a Martingale Point of View --
13. Multidimensional Models: Classical Approach --
14. Multidimensional Models: Martingale Approach --
15. Incomplete Markets --
16. Dividends --
17. Currency Derivatives --
18. Barrier Options --
19. Stochastic Optimal Control --
20. Bonds and Interest Rates --
21. Short Rate Models
Responsibility: Tomas Björk.
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Abstract:

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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