Arbitrage Theory in Continuous Time: Oxford Finance Series
Autor Tomas Björken Limba Engleză Hardback – 18 dec 2019
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Specificații
ISBN-13: 9780198851615
ISBN-10: 0198851618
Pagini: 592
Dimensiuni: 162 x 241 x 36 mm
Greutate: 1.03 kg
Ediția:4th edition
Editura: OUP OXFORD
Colecția OUP Oxford
Seria Oxford Finance Series
Locul publicării:Oxford, United Kingdom
ISBN-10: 0198851618
Pagini: 592
Dimensiuni: 162 x 241 x 36 mm
Greutate: 1.03 kg
Ediția:4th edition
Editura: OUP OXFORD
Colecția OUP Oxford
Seria Oxford Finance Series
Locul publicării:Oxford, United Kingdom
Recenzii
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.
Notă biografică
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.
Cuprins
- 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