Arbitrage Theory in Continuous Time

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OUP Oxford, Mar 4, 2004 - Business & Economics - 466 pages
4 Reviews
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.

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JSTOR: Arbitrage Theory in Continuous Time
Tomas Bjork's book Arbitrage Theory in Continuous Time is one of several recent publications intended to close that gap. In mathematical finance we are con- ...
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Oxford Scholarship Online: Arbitrage Theory in Continuous Time
Subject: Economics and Finance Book Title: Arbitrage Theory in Continuous Time. Arbitrage Theory in Continuous Time. Björk, Tomas , Professor of ...
www.oxfordscholarship.com/ oso/ public/ content/ economicsfinance/ 9780199271269/ toc.html

Arbitrage Theory in Continuous Time at Questia Online Library
Combining sound mathematical principles with the necessary economic focus, Arbitrage Theory in Continuous Time is specifically designed for graduate ...
www.questia.com/ library/ book/ arbitrage-theory-in-continuous-time-by-.jsp

Typos in Bjork: Arbitrage Theory in Continuous Time, second edition.
Typos in Bjork: Arbitrage Theory in Continuous Time,. second edition. Chapter 2. (1) p.11, l.15: “u < d” → “u > d”. Chapter 3. (1) p.26, l.18: “P(ω ...
www.math.ku.dk/ ~jesper/ teaching/ e04/ typos.pdf

BJORK: Arbitrage Theory in Continuous Time

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Oxford Scholarship Online: Arbitrage Theory in Continuous Time
Subject: Economics and Finance Book Title: Arbitrage Theory in Continuous Time. show all chapter abstracts. hide chapter abstracts ...
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Books on Trading: Tomas Bjork - Arbitrage Theory in Continuous Time
Tomas Bjork - Arbitrage Theory in Continuous Time ... Tomas Bjork - Arbitrage Theory in Continuous Time · James Douglas Hamilton - Time Series Analysis ...
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phd Course in Continuous Time Finance, Spring 2003
Bjork, T. (1998): Arbitrage theory in continuous time, Oxford University Press, Oxford, Great. Britain. Bodie, Z., R. Merton, and P. Samuelson (1992): ...
www.cls.dk/ caf/ phdcont03.pdf

Continuous–Time Finance minicourse at BIGSEM Summer 2006
Bjork, Arbitrage Theory in Continuous Time. • Duffie, Dynamic Asset Pricing Theory. 2. Research Papers: see references below. References ...
www.bigsem.de/ content/ teaching/ syllabusbi.pdf

Department of Economics Spring 2007 UNC-Chapel Hill Syllabus ECON ...
T. Bjork (2004) “Arbitrage Theory in Continuous Time”, 2. nd. edition, Oxford University. Press. Makes a neat job of providing a decent introduction to ...
www.unc.edu/ depts/ econ/ profs/ renault/ Spring2007ContinuousTimeFinance.pdf

About the author (2004)

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.

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