Arbitrage Theory in Continuous Time. - Couverture rigide

Bjork, Tomas

 
9780199574742: Arbitrage Theory in Continuous Time.
Couverture rigide
ISBN 10 : 019957474X ISBN 13 : 9780199574742
Editeur : Oxford University Press, 2009

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

Tomas Björk is Professor of Mathematical Finance at the Stockholm School of Economics. His background is in probability theory and he was formerly at the Mathematics Department of the Royal Institute of Technology in Stockholm. He is co-editor of Mathematical Finance and Associate Editor of Finance and Stochastics. He has published numerous journal articles on mathematical finance in general, and in particular on interest rate theory.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Oxford University Press
Date d'édition
2009
Langue
anglais
ISBN 10 
019957474X
ISBN 13 
9780199574742
Reliure
Relié
Numéro d'édition
3
Nombre de pages
560
Coordonnées du fabricant
non disponible
Personne responsable
Ufficio Anagrafiche Messaggerie
ufficio.anagrafiche@meli.it

Via Verdi, 8
Assago Milano
20090
Italie