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Arbitrage theory in continuous time

Author: Tomas Björk
Publisher: Oxford ; New York : Oxford University Press, 2009.
Series: Oxford finance.
Edition/Format:   eBook : Document : English : 3rd edView all editions and formats
Summary:
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Björk, Tomas.
Arbitrage theory in continuous time.
Oxford ; New York : Oxford University Press, 2009
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Tomas Björk
ISBN: 9780199574742 019957474X 9780191572005 0191572004
OCLC Number: 559018376
Description: 1 online resource (xx, 525 pages) : illustrations.
Contents: 20 The Martingale Approach to Optimal Investment*21 Optimal Stopping Theory and American Options*; 22 Bonds and Interest Rates; 23 Short Rate Models; 24 Martingale Models for the Short Rate; 25 Forward Rate Models; 26 Change of Numeraire*; 27 LIBOR and Swap Market Models; 28 Potentials and Positive Interest; 29 Forwards and Futures; A Measure and Integration*; B Probability Theory*; C Martingales and Stopping Times*; Referenc.
Series Title: Oxford finance.
Responsibility: Tomas Björk.

Abstract:

This accessible introduction to the mathematical underpinnings of finance concentrates on the probabilistic theory of continuous arbitrage pricing of financial derivatives. It includes a solved  Read more...

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Review from previous edition This book is one of the best of a large number of new books on mathematical and probabilistic models in finance, positioned between the books by Hull and Duffie on a Read more...

 
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