Arbitrage Theory in Continuous Time
(Sprache: Englisch)
The fourth edition of this widely used textbook on pricing and hedging of financial derivatives now also includes dynamic equilibrium theory and continues to combine sound mathematical principles with economic applications.
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The fourth edition of this widely used textbook on pricing and hedging of financial derivatives now also includes dynamic equilibrium theory and continues to combine sound mathematical principles with economic applications.
Klappentext zu „Arbitrage Theory in Continuous Time “
The fourth edition of this widely used textbook on pricing and hedging of financial derivatives now also includes dynamic equilibrium theory and continues to combine sound mathematical principles with economic applications.
Inhaltsverzeichnis zu „Arbitrage Theory in Continuous Time “
- 1: Introduction
- I. Discrete Time Models
- 2: The Binomial Model
- 3: A More General One period Model
- II. Stochastic Calculus
- 4: Stochastic Integrals
- 5: Stochastic Differential Equations
- III. Arbitrage Theory
- 6: Portfolio Dynamics
- 7: Arbitrage Pricing
- 8: Completeness and Hedging
- 9: A Primer on Incomplete Markets
- 10: Parity Relations and Delta Hedging
- 11: The Martingale Approach to Arbitrage Theory
- 12: The Mathematics of the Martingale Approach
- 13: Black-Scholes from a Martingale Point of View
- 14: Multidimensional Models: Martingale Approach
- 15: Change of Numeraire
- 16: Dividends
- 17: Forward and Futures Contracts
- 18: Currency Derivatives
- 19: Bonds and Interest Rates
- 20: Short Rate Models
- 21: Martingale Models for the Short Rate
- 22: Forward Rate Models
- 23: LIBOR Market Models
- 24: Potentials and Positive Interest
- IV. Optimal Control and Investment Theory
- 25: Stochastic Optimal Control
- 26: Optimal Consumption and Investment
- 27: The Martingale Approach to Optimal Investment
- 28: Optimal Stopping Theory and American Options
- V. Incomplete Markets
- 29: Incomplete Markets
- 30: The Esscher Transform and the Minimal Martingale Measure
- 31: Minimizing f-divergence
- 32: Portfolio Optimization in Incomplete Markets
- 33: Utility Indifference Pricing and Other Topics
- 34: Good Deal Bounds
- VI. Dynamic Equilibrium Theory
- 35: Equilibrium Theory: A Simple Production Model
- 36: The Cox-Ingersoll-Ross Factor Model
- 37: The Cox-Ingersoll-Ross Interest Rate Model
- 38: Endowment Equilibrium: Unit Net Supply
Autoren-Porträt von Tomas Björk
Tomas Björk is Professor Emeritus of Mathematical Finance at the Stockholm School of Economics. He has previously worked at the Mathematics Department of the Royal Institute of Technology, also in Stockholm.Tomas Björk has been president of the Bachelier Finance Society, co-editor of Mathematical Finance, and has been on the editorial board for Finance and Stochastics and other journals. He has published numerous journal articles on mathematical finance, and in particular is known for his research on point process driven forward rate models, consistent forward rate curves, general interest rate theory, finite dimensional realisations of infinite dimensional SDEs, good deal bounds, and time inconsistent control theory.
Bibliographische Angaben
- Autor: Tomas Björk
- 2019, 4th edition, 592 Seiten, Maße: 16,4 x 24,4 cm, Gebunden, Englisch
- Verlag: Oxford University Press
- ISBN-10: 0198851618
- ISBN-13: 9780198851615
- Erscheinungsdatum: 24.02.2020
Sprache:
Englisch
Pressezitat
Review from previous edition This book is one of the best of a large number of new books on mathematical and probabilistic models in finance, positioned between the books by Hull and Duffie on a mathematical scale...This is a highly reasonable book and strikes a balance between mathematical development and intuitive explanation. Short Book Reviews
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