Arbitrage theory in continuous time

著者

• Björk, Tomas

書誌事項

Arbitrage theory in continuous time

Tomas Björk

Oxford University Press, 2004

2nd ed

• : hbk

注記

Includes bibliographical references (p. [453]-460) and index

内容説明・目次

内容説明

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 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.

目次

• 1. Introduction
• 2. The Binomial Model
• 3. A More General One Period Model
• 4. Stochastic Integrals
• 5. Differential Equations
• 6. Portfolio Dynamics
• 7. Arbitrage Pricing
• 8. Completeness and Hedging
• 9. Parity Relations and Delta Hedging
• 10. The Martingale Approach to Arbitrage Theory (For advanced readers)
• 11. The Mathematics of the Martingale Approach (For advanced readers)
• 12. Black-Scholes from a Martingale Point of View (For advanced readers)
• 13. Multidimensional Models: Classical Approach
• 14. Multidimensional Approach: Martingale Approach (For advanced readers)
• 15. Incomplete Markets
• 16. Dividends
• 17. Currency Derivatives
• 18. Barrier Options
• 19. Stochastic Optimal Control
• 20. Bonds and Interest Rates
• 21. Short Rate Models
• 22. Martingale Models for the Short Rate
• 23. Forward Rate Models
• 24. Change of Numeraire (For advanced readers)
• 25. LIBOR and Swap Market Models
• 26. Forwards and Futures
• Appendix A Measure and Integration (For advanced readers)
• Appendix B Probability Theory (For advanced readers)
• Appendix C Martingales and Stopping Times (For advanced readers)
• References
• Index

「Nielsen BookData」 より

詳細情報

• NII書誌ID(NCID): BA66508939
• ISBN:
  • 0199271267
• 出版国コード: uk
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Oxford
• ページ数/冊数: xviii, 466 p.
• 大きさ: 24 cm
• 分類:
  • DC21 : 332.645
• 件名:
  • LCSH : Arbitrage
  • LCSH : Arbitrage -- Mathematical models