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Arbitrage theory in continuous time

The third 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 fur.

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  • "The third 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 fur."@en
  • "This book gives a comprehensive introduction to arbitrage theory for the pricing of contingent claims, such as options, futures, and other financial derivatives. The arbitrage theory for the term structure of interest rates is given particular consideration. Also included is a self-contained exposition of stochastic optimal control, with applications to portfolio optimisation. The mathematical development is precise but avoids the explicit use of measure theory. -- From http://www.oxfordscholarship.com/view/10.1093/0198775180.001.0001/acprof-9780198775188 (Oct. 23, 2012)."@en
  • "The second edition of this introduction to the classical underpinnings of the mathematics behind finance continues to combine sound mathematical principles with economic applications."
  • "The third 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 the martingale approach to optimal investment problems, optimal stopping theory with applications to American options, and positive interest models and their connection to potential theory and stochastic discount factors. More advanced areas of study are clearly marked to help students and teachers use the book as it suits their needs."
  • "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."@en
  • "This text provides an accessible introduction to the classical mathematical underpinnings of modern finance. Professor Bjork concentrates on the probabilistic theory of continuous arbitrage pricing of financial derivatives."

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  • "Electronic books"@en
  • "Llibres electrònics"
  • "Electronic resource"
  • "Lehrbuch"
  • "Problems and exercises"
  • "Problems and exercises"@en

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  • "Arbitrage theory in continuous time"
  • "Arbitrage theory in continuous time"@en
  • "Arbitrage Theory in Continuous Time"

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