Arbitrage Theory in Continuous Time - Hardcover

Björk, Tomas

Hardcover

ISBN 10: 0199271267 ISBN 13: 9780199271269

Publisher: Oxford University Press, 2004

Synopsis

The second edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sounds mathematical principles with economic applications. Concentrating on the probabilistics 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 measure theory, probability theory, Girsanov transformations, LIBOR and swap market models, and martingale representations, providing two full treatments of arbitrage pricing: the classical delta-hedging and the modern martingales. More advanced areas of study are clearly marked to help students and teachers use the book as it suits their needs.

About this title

About the Author:

Tomas Bjork 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 is on the editorial
board of Finance and Stochastics. He has published numerous journal articles on mathematical finance in general, and in particular on interest rate theory.

Review:

"[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

About this edition

• Publisher: Oxford University Press
• Publication date: 2004
• ISBN 10: 0199271267
• ISBN 13: 9780199271269
• Binding: Hardcover
• Edition number: 2
• Number of pages: 488