Björk, Tomas Primary Author mixed material bibliography Oxford Oxford University Press 2003 en English

Electronic Resource

484 pages The second 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 measure theory, probability theory, Girsanov transformations, LIBOR and swap market models, and martingale representations, providing two full treatments of arbitrage pricing: the classical delta-hedgingand the modern martingales. More advanced areas of study are clearly marked to help students and teachers use the book as it suits their needs. Arbitrage--Mathematical Models Derivative Securities--Mathematical Models NONE PERPUSTAKAAN UMSU Universitas Muhammadiyah Sumatera Utara Arbitrage Theory in Continuous Time Arbitrage_theory_in_continuous_time.jpg.jpg 14279 2015-04-03 14:06:59 2015-11-05 20:43:45 machine generated