Arbitrage theory in continuous time / Tomas Björk.
"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, inc...
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| Main Author: | |
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| Format: | Book |
| Language: | English |
| Published: |
Oxford ; New York :
Oxford University Press,
2009.
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| Edition: | Third edition. |
| Series: | Oxford finance.
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| Subjects: |
Table of Contents:
- 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
- 11. The Mathematics of the Martingale Approach
- 12. Black-Scholes from a Martingale Point of View
- 13. Multidimensional Models: Classical Approach
- 14. Multidimensional Models: Martingale Approach
- 15. Incomplete Markets
- 16. Dividends
- 17. Currency Derivatives
- 18. Barrier Options
- 19. Stochastic Optimal Control
- 20. The Martingale Approach to Optimal Investment
- 21. Optimal Stopping Theory and American Options
- 22. Bonds and Interest Rates
- 23. Short Rate Models
- 24. Martingale Models for the Short Rate
- 25. Forward Rate Models
- 26. Change of Numeraire
- 27. LIBOR and Swap Market Models
- 28. Potentials and Positive Interest
- 29. Forwards and Futures
- Appendix A. Measure and Integration
- Appendix B. Probability Theory
- Appendix C. Martingales and Stopping Times.