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Arbitrage Theory in Continuous Time - Oxford Scholarship Online
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Arbitrage Theory in Continuous Time

Tomas Björk

Abstract

The fourth edition of this textbook on pricing and hedging of financial derivatives, now also including dynamic equilibrium theory, continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous time arbitrage pricing of financial derivatives, including stochastic optimal control theory and optimal stopping theory, the book is designed for graduate students in economics and mathematics, and combines the necessary mathematical background with a solid economic focus. It includes a solved example for every new technique prese ... More

Keywords: arbitrage, financial derivatives, portfolio theory, pricing, hedging, optimal control, investment, equilibrium

Bibliographic Information

Print publication date: 2019 Print ISBN-13: 9780198851615
Published to Oxford Scholarship Online: February 2020 DOI:10.1093/oso/9780198851615.001.0001

Authors

Affiliations are at time of print publication.

Tomas Björk, author
Professor of Mathematical Finance, Department of Finance, Stockholm School of Economics

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Contents

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Part I Discrete Time Models

Part II Stochastic Calculus

Part III Arbitrage Theory

Part IV Optimal Control and Investment Theory

Part V Incomplete Markets

Part VI Dynamic Equilibrium Theory