Arbitrage Theory in Continuous Time
Third Edition
ISBN13: 9780199574742ISBN10: 019957474X
Hardback,
512 pages
Sep 2009,
In Stock
Price:
$85.00 (06)See more from the series
Description
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.
Features
- New edition building on the strengths of a successful graduate text
- A clear, accessible introduction to a complex field of classical financial mathematics
- Includes solved examples for all techniques, exercises, and further reading.
About the Author(s)
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 Associate Editor of Finance and Stochastics. He has published numerous journal articles on mathematical finance in general, and in particular on interest rate theory.
