Arbitrage Theory in Continuous Time
Arbitrage Theory in Continuous Time
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Summary
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 example for every new technique presented, numerous exercises, and a Further Reading list in each chapter.
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Arbitrage Theory in Continuous Time by Tomas Bjork
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 combines necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. In this substantially extended new edition Bjork has added separate and complete chapters on the martingale approach to optimal investment problems, optimal stopping theory with applications to American options, and positive interest models and their connection to potential theory and stochastic discount factors. More advanced areas of study are clearly marked to help students and teachers use the book as it suits their needs.
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 mathematical scale..This is a highly reasonable book and strikes a balance between mathematical development and intuitive explanation * Short Book Reviews *
Tomas Björk is Professor of Mathematical Finance at the Stockholm School of Economics. His background is in probability theory and he was formerly at the Mathematics Department of the Royal Institute of Technology in Stockholm. He is co-editor of Mathematical Finance and Associate Editor of Finance and Stochastics. He has published numerous journal articles on mathematical finance in general, and in particular on interest rate theory.
| SKU | Unavailable |
| ISBN 13 | 9780199574742 |
| ISBN 10 | 019957474X |
| Title | Arbitrage Theory in Continuous Time |
| Author | Tomas Bjork |
| Series | Oxford Finance Series |
| Condition | Unavailable |
| Binding Type | Hardback |
| Publisher | Oxford University Press |
| Year published | 2009-08-06 |
| Number of pages | 560 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |