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| 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. |
| More information: |
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 optimal control theory, and Merton's fund separation theory. This title includes numerous exercises and a Further Reading list in each chapter.
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<br>"[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, succeeds reasonably well."--SIAM Review<p><br> Read more...
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Related Subjects:(14)
- Arbitrage -- Mathematical models.
- Derivative securities -- Mathematical models.
- Arbitrage (Bourse) -- Modèles mathématiques.
- Instruments dérivés (Finances) -- Modèles mathématiques.
- Stochastische differentiaalvergelijkingen.
- Toepassingen.
- Swaps.
- Continue functies.
- Arbitrage (Bourse)
- Instrument dérivé (Finances)
- Modèle mathématique
- Taux d'intérêt
- Matemática aplicada.
- Finanças (modelos matemáticos)
