Arbitrage theory in continuous time / Tomas Bjork.
- 作者： Bjork, Tomas.
- 出版： Oxford ;New York : Oxford University Press c2004.
- 主題： Arbitrage--Mathematical models. , Derivative securities--Mathematical models
- 版本：2nd ed.
- ISBN： 0199271267 (hbk. : alk. paper) :: NT$1250
- 書目註：Includes bibliographical references (p. [453]-460) and index.
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讀者標籤：
- 系統號： 005125623 | 機讀編目格式
館藏資訊
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.