Arbitage Theory in Continuous Time
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Arbitage Theory in Continuous Time by Tomas Bjork
The second 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 Tomas Bjork has added completely new chapters on measure theory and probability theory, including the Radon-Nikodym Theorem, Girsanov transformations, and stochastic integral martingale representations. There is also an extensive new chapter on the abstract martingale approach to arbitrage theory, including a guided tour through the Delbaen-Schachermayer proof of the first fundamental theorem, as well as a new chapter on the LIBOR and swap market models. Providing two full treatments of arbitrage theory - the classical delta hedging approach and the modern martingale approach - the book is written in such a way that these approaches can be studied independently of each other, thus providing the less mathematically oriented reader with a self contained introduction to arbitrage theory, while at the same time allowing the specialist to see the full theory in action. 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.Tomas Bjork, Professor of Mathematical Finance, Department of Finance, Stockholm School of Economics Tomas Bjork is Professor Emeritus of Mathematical Finance at the Stockholm School of Economics. He has previously worked at the Mathematics Department of the Royal Institute of Technology, also in Stockholm.
Tomas Bjork has been president of the Bachelier Finance Society, co-editor of Mathematical Finance, and has been on the editorial board for Finance and Stochastics and other journals. He has published numerous journal articles on mathematical finance, and in particular is known for his research on
point process driven forward rate models, consistent forward rate curves, general interest rate theory, finite dimensional realisations of infinite dimensional SDEs, good deal bounds, and time inconsistent control theory.
| SKU | Unavailable |
| ISBN 13 | 9780198775188 |
| ISBN 10 | 0198775180 |
| Title | Arbitage Theory in Continuous Time |
| Author | Tomas Bjork |
| Condition | Unavailable |
| Binding Type | Hardback |
| Publisher | Oxford University Press |
| Year published | 1999-05-01 |
| Number of pages | 300 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |