| Description |
1 online resource (xii, 311 pages) : illustrations |
| Contents |
1. Introduction 2. The Binomial Model 3. Stochastic Integrals 4. Differential Equations 5. Portfolio Dynamics 6. Arbitrage Pricing 7. Completeness and Hedging 8. Parity Relations and Delta Hedging 9. Several Underlying Assets 10. Incomplete Markets 11. Dividends 12. Currency Derivatives 13. Barrier Options 14. Stochastic Optimal Control 15. Bonds and Interest Rates 16. Short Rate Models 17. Martingale Models for the Short Rate 18. Forward Rate Models 19. Change of Numeraire 20. Forwards and Futures |
| Summary |
Professor Bjork provides an accessible introduction to the classical underpinnings of the central mathematical theory behind modern finance. Combining sound mathematical principles with the necessary economic focus, Arbitrage Theory in Continuous Time is specifically designed for graduate students, and includes solved examples for every new technique presented, numerous exercises, and Further Reading lists for each chapter. - ;The second edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sound mathematical principles with |
| Bibliography |
Includes bibliographical references (pages 304-308) and index |
| Notes |
English |
|
Print version record |
| Subject |
Arbitrage -- Mathematical models
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Derivative securities -- Mathematical models.
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BUSINESS & ECONOMICS -- Investments & Securities -- General.
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Arbitrage -- Mathematical models
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Derivative securities -- Mathematical models
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Stochastische differentiaalvergelijkingen.
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Toepassingen.
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Swaps.
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Continue functies.
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| Form |
Electronic book
|
| ISBN |
9780191525100 |
|
0191525103 |
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9780191595981 |
|
0191595985 |
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9786612054020 |
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6612054026 |
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1282054023 |
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9781282054028 |
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