عنوان

Arbitrage theory in continuous time /

(Number (ISBN

0191572004

(Number (ISBN

019957474X

(Number (ISBN

9780191572005

(Number (ISBN

9780199574742

Number

b711576

Title Proper

Arbitrage theory in continuous time /

General Material Designation

[Book]

First Statement of Responsibility

Tomas Björk.

Edition Statement

3rd ed.

Place of Publication, Distribution, etc.

New York :

Name of Publisher, Distributor, etc.

Oxford University Press,

Date of Publication, Distribution, etc.

2009.

Specific Material Designation and Extent of Item

1 online resource (xx, 525 pages) :

Other Physical Details

illustrations

Series Title

Oxford Finance

Text of Note

Includes bibliographical references (pages 514-520) and index.

Text of Note

The binomial model -- A more general one period model -- Stochastic integrals -- Differential equations -- Portfolio dynamics -- Arbitrage pricing -- Completeness and hedging -- Parity relations and delta hedging -- The Martingale approach to arbitrage theory -- The mathematics of the Martingale approach -- Black-Scholes from a Martingale point of view -- Multidimensional models : classical approach -- Multidimensional models : Martingale approach -- Incomplete markets -- Dividends -- Currency derivatives -- Barrier options -- Stochastic optimal control -- The Martingale approach to optimal investment -- Optimal stopping theory and American options -- Bonds and interest rates -- Short rate models -- Martingale models for the short rate -- Forward rate models -- Change of numeraire -- LIBOR and swap market models -- Potentials and positive interest -- Forwards and futures -- Measure and inegration -- Probability theory -- Martingales and stopping time.

0

Text of Note

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 fur.

Source for Acquisition/Subscription Address

MIL

Stock Number

235475

Title

Arbitrage theory in continuous time.

Arbitrage-- Mathematical models.

Derivative securities-- Mathematical models.

Arbitrage-- Mathematical models.

BUSINESS & ECONOMICS-- Investments & Securities-- General.

Derivative securities-- Mathematical models.

BUS-- 036000

Number

Edition

Class number

Book number

Björk, Tomas.

Date of Transaction

20201208021239.0

Cataloguing Rules (Descriptive Conventions))

pn

Electronic name

[Book]

Y