Arbitrage Theory in Continuous Time
$240.10
- Hardcover
592 pages
- Release Date
18 December 2019
Summary
Mastering Arbitrage: A Continuous Time Approach
The fourth edition of this acclaimed textbook offers a comprehensive exploration of pricing and hedging financial derivatives, now enhanced with dynamic equilibrium theory. Bridging rigorous mathematical principles with practical economic applications, this book delves into the probabilistic theory of continuous-time arbitrage pricing, incorporating stochastic optimal control and optimal stopping theories.
Key Features:…
Book Details
| ISBN-13: | 9780198851615 |
|---|---|
| ISBN-10: | 0198851618 |
| Series: | Oxford Finance Series |
| Author: | Tomas Björk |
| Publisher: | Oxford University Press |
| Imprint: | Oxford University Press |
| Format: | Hardcover |
| Number of Pages: | 592 |
| Edition: | 4th |
| Release Date: | 18 December 2019 |
| Weight: | 1.02kg |
| Dimensions: | 241mm x 162mm x 36mm |
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Critics Review
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 *
About The Author
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 timeinconsistent control theory.
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